I haven't run a Serious horror adventure yet (But I will). I have touched on it a few times however.
In my Inizii campaign, the PCs are traveling in the frozen north. Two go hunting for food, and on a lark, I say they find the opening of a mine shaft. They find a collapsed mine entrance, and sticking out of the pile of rocks is a red gem. The rogue grabs the gem and yanks. And out comes a jagged stick with the gem on the end- a broken axe haft. They uncover the pile and find a dwarven skeleton, and the other piece of the axe. They pocket the axe and gem and leave.
They tell the party about this about two days later in game, and the wizard gets huge eyes. They go back after the adventure... and find the mine shaft empty, and a drained corpse of a local barbarian buried in the snow.
That dwarven vampire hunted and hounded them down something awful. Just because they took his axe, which was a sentimental thing.
The two PCs found a woman long the road who was near death, shot full of arrows. The cleric healed her... and noticed the arrows were silver. They travel with her into town, where a traveling carnival has stopped. The cleric and wizard have a pow-wow in their room, and the cleric detects evil. They check her room; she's gone. They look out side - and see evil out there. They investigate. There's an ogre in a tent who is the strong man act. Then something in black armor attacks the carnival.
They attack, it disappears. They follow it to the "Scare House" and objects start flinging at them, mannequins come alive, the whole shebang. Finally they're attacked by the black armored fellow - and find a mannequin shaped like a Drow. The wizard gets an idea, cuts the wax on the mannequin - and finds bones. The cleric casts "SPeak with Dead". The mannequin was an elven drow hunter, and he was killed by his quarry, dipped in wax, and his soul bound to the mannequin - until the seal was broken while he was being moved. (The woman turned out to be a werewolf - but a True lycanthrope, and joined the party as their tank).
Later they found an inn with an old married couple. It was your standard Inn. They go to bed. And wake up, and the place is abandoned, molded, and shows signs of a severe fire. They find bones in the bed, and outside beneath the upper story window.
Later they faced a Blight Mage (Mage that sucks the life around him to empower his spells) and his insane druid "girlfriend". They found his journal, and I had taken the time to go into depth about his entries, show his slow descent into madness.