I think that this is a question a lot of DM's struggle with, myself included. A couple of relevant and semi-coherent thoughts I had while considering this.
1) It is different for each group. One person's dark and disturbing is another person's nap time. You know what I find to be one of the creepiest and most terrifying horror movies? White Noise. I think I have met 3 people who don't roll their eyes when they hear that. So I think the best way to do this is to actually ask "What would my players' consider dark and scary?"
2) I actually experienced some genuine fear from the players a couple of sessions ago. It was when Cyanwrath and his guard completely shrugged off their spell and proceeded to drop half the party on their first turn. 5th is still fairly new for us, and not everyone has the balance down. Finding out that you are completely outmatched in an encounter you are expected to win, that your new character is unconscious, the character you recently made with all the shiny new bells and whistles, that you couldn't wait to level up just one more time, OH GOD NO HE'S TOO YOUNG TO DIE! lol. The moment the fighter pointed out that cyanwrath had to be about twice the parties level to use the abilities he had as a fighter, oh yeah, there was fear.
3) They should make the setting darker. If there is a fiend on the loose, the world should feel it. The rumors have escaped, townspeople are paranoid. Merchants are avoiding the place, limiting food, weapon repairs, healing potions. Everyone knows the whole "go after the pc's loved one" angle. So up the ante. The PC's spouse isn't killed or captured. They are mind controlled. Oh god no, that isn't mind control. They signed that pact WILLINGLY. Why? Because they were tired of waiting up at night to see if the player came home. They had to do something, anything, to help. It all seemed so reasonable at first. It wasn't till it was far too late that they realized they had made an actual deal with the devil. And they aren't mindless. They are completely aware of what they are doing. You just don't understand. They just HAVE to stop you from going to that ball. It's, like the feeling of starvation, or a drug addict, or love. Please don't go. Stay with me. Please.
EDIT: What I'm trying to say here is, butcher some sacred cows. Be willing to let a mainstay of the campaign be destroyed or changed. Let them know that this time it matters. This isn't just a dungeon crawl. It's not some random shopkeeper that got slaughtered. It's the PC's contact that ran the homeless shelter. The one that single handedly kept it from closing. So now there are homeless people wandering around at night, cold, hungry, desperate. AND your ear to the streets is gone.
I know that last bit was like Kindergarten Performance Theater, but I hope it gets across what I was trying to say.