The best session I've ever run was for a d20 modern game that was somewhere in between the X-Files and Military Special Forces.
The players were tracking down covert weapons shipments from the Soviet Union (alt history where the Berlin Wall never fell and the USSR gained further power) and they came across very suspicious logs from a shipping company, and in particular a ship about to set sail out of Odesa, in the Ukraine. They arrive in the city only to find out the ship set sail the day before.
*Fast forward a few days.*
The players are onboard a special ops plane (Think OV-22 Osprey), being battered by a huge storm as they approach the current location of this container ship. The plane drops them off in a Zodiac, and as they motor towards the giant ship the storm grows worse and the sun begins to set.
For this session, I used a whole list of events I planned out before, but what really made everything work well was integrating reality into the adventure.
Here are some examples for what I mean by that:
*Making sure to start the session later than normal, so that as the sun sets on the PCs at the beginning of the adventure, the sun is actually setting IRL.
*Delaying the session by a day, in order to game during a huge thunderstorm that was (correctly) forcasted to occur. As we played and I described the side-to-side listing of the ship, and the rain pounding on the exterior walls, they could hear the rain pounding on the roof of the house (we were on the top story of a two story house) and the thunder cracking from outside the windows.
*It was a ghost ship of sorts. Something evil that they were carrying got out and killed all of the crew, leaving only beheaded heads (that then attacked the PCs) in the rooms of the crew, and the bodies hanging in one of the cargo holds from meathooks (that the PCs found later). To add to this creepy atmosphere, I made sure that the windows in our game room were slightly open, with the blinds down (to get the effect of the wind coming through and randomly shaking things), and the door to the room was open, with all of the lights in the rest of the house off (always creepy, and noone would sit with their back to that open door).
*Props. When they found the captain's log, I handed them a blank and burnt/stained book. When, as they explored the ship, they discovered that the captain's log was gradually being filled in with entries from the day the ship left port, I handed them "entries" (again, burnt/torn/stained) that I had made beforehand. And, of course, the entries became gradually more desperate.
*Bringing lots of caffeinated beverages and sugary candy. Nothing gets imaginations going wild than a combination of caffeine, sugar, and staying up all night (it was an over-nighter session).
*The power went out onboard the ship. Beforehand, I had talked with one of the players, and arranged for him to sit next to the lamp in the room. We agreed that when I gave him a sign (held up a yellow marker in my hand) he would pull the plug on the lights. The power went out onboard the ship (and to all of the lights in the room) at about 11:30pm real time. At that point, I brought glowsticks, and we played the rest of the session by those slowly dimming chemoilluminescent things. Purely by accident, I didn't quite bring enough for every player to have one, and the combination of having to pass them around when you wanted to do something/look at your character sheet/etc and not being able to see things clearly really put some players on edge.
*Make them doubt reality. The creepiest thing is the unknown. Describe something that only one player sees, but disappears a moment later. In my game, as they approached the ship, a lightning bolt illuminated a strange bestial figure atop one of the radio masts, the next lightning bolt showed it gone. Once they were onboard the ship, they split up into two groups to try to reach the command room from either side of the main superstructure. The corridors they traversed inside the ship were physically impossible: doors appeared and disappeared, the passageways shifted, and they couldn't trust the hallway that they had just been through. One group, upon entering the right side of the superstructure, closed the exterior door, and noticed that everything went silent. Absolutely, completely, dead silent. And the rocking of the ship in the storm disappeared. When they reopened the same door (that they had just come in from the outside of the ship), it lead to a stairway that was very definitely completely inside.
*A cake is nothing without the frosting. You have to use decorative little bits that don't necessarily mean anything. The beetles at crime scenes mentioned earlier is a very good example of this. In my game, it was dolphins. The early entries in the captain's log mentioned the good luck of a pod of dolphins swimming with the ship for a few days, and then in later entries the crew was horrified as the dolphins turned up dead in the water around the ship. As my players were exploring the lower decks of the ship, they found that below a certain point, the ship was full of fog. The top layer of this fog only extended about a foot and a half above the floor of one of the floors. As they walked through this floor, exploring, they noticed that the fog seemed to be making shapes. In fact, the whole layer of fog around their feet seemed to resemble gentle ocean waves, and before long they noticed tiny shapes jumping in and out of the surface of the "water" that looked like dolphins.
*Don't give them answers. This is the hardest part about horror in DnD. In a different game (DnD this time), the PCs were hired to protect a gnomish merchant caravan. They stumbled into a cavern where there were a series of elemental-themed challenges. In one, the caravan was surrounded by a huge ring of fire that began getting smaller and smaller as they went forward. This seriously freaked out my players (completely unintentionally, mind you) until I mentioned that the ring of fire (now about 20ft from the caravan, at the closest point) was breaking up into what almost looked like individual figures. Immediately, one of the players broke out with an OOC "Oh, fire elementals." And the nervous and tense atmosphere was broken immediately. Yet, fostering this fear of the unknown is a very difficult thing in DnD because the players are used to strange and magical happenings. The ghost is ethereal and you need magic weapons to harm it. The demonic beast ignores your arrows because it has DR against good. They understand what they're facing, so they don't fear it. Because of that, I find it's practically essential when running DnD horror sessions to just make up magical effects that they've never seen before, things that really throw the PCs for a loop. The ability to put a label, a name, on something the PCs are interacting with gives them an element of power over it. Power is the last thing you want PCs to have when you're working on an atmosphere of powerlessness and dread in the face of the unknown.