I always run a halloween game if I can possibly manage it. I'll tell you about the Zombie Attack game...
It's a DND modern game with all of the characters working for a temp agency. The agency sends them all out to meet with a gentleman at a graveyard (he has all the required permits on hand), who leads them to a crypt where he has the players dig up the floor. This takes a few hours, and by the time they are done it's nearly nightfall. Their employer then ushers them out of the crypt and locks himself in with a padlock on the crypt gate.
Soon enough, the players noticed that there were other people (dare I say it) shambling around the graveyard, and they decide that they've most certainly had enough of this nonsense. They ran out of the graveyard to their cars (they all decided to pile into the station wagon togeather) and drove off. After an extended arguement about what, if anything, they actually saw, they stop at a gas station to fill up and grab some food, just in case. Sure enough, the guy behind the counter is watching the news on a little portable TV. Apparently there is a lot of gang related violence breaking out all over the city with people being attacked. The situation is quickly escalating to riot proportions, and the cops are fairly sure that the rioter are hopped up on drugs, which is why they ignore the tear gas and rubber bullets.
The players are getting well on to freaked at this point, and manage to get to a pawn shop before the "Riot" spreads to where they were located, and picked up a shotgun, a hunting rifle, and some ammo, before breaking into an office building and climbing to the top floor to wait things out. They reasoned that the Zombies wouldn't spot them from way up here, and they'd be able to wait things out, or meybe get a ride when rescue choppers started doing fly-bys.
It would have worked too, but one of the players started pot-shotting the zombies down on the street whenever they got close to the entrance to the building. Soon, a giant knot of the creatures were swarming towards the enterance, drawn by the gunfire. The players managed to burn them all down with 5th floor molotov coctails, except for a lone figure that survived the flames and entered the building, moving as if with a purpose.
The players figured that the one remaining zombie would fine his way upstairs eventually, and sure enough none other than their employer strolls in, wearing nothing than burnt rags. One of the players gets the drop on him, puts the shotgun against his temple and pulls the trigger.
Me: You take 2d6 damage as buckshot ricochets off his head and into your face and arms. He's going to use the attack of opportunity to grab you by the throat and walk you over to the nice big picture window, by the way.
Player: ...What?
The monster that had unleashed the zombie plague picked up the PC with one hand around his throat, pushed him slowly through the laminated glass window, and dropped him five floors to his death.
The rest of the players decided that meybe running was a better idea after all. They made it down to the street and back into the station wagon, and spent the next several hours of game-time trying desperately to shake Papa Shango as he tracked them unerringly across the city. Finally, one of the PCs, who had been bitten by a zombie and was going to turn soon anyway, stole a fuel tanker truck, ran Papa Shango over on the highway, and then set off the tank with a shotgun as Shango started burrowing up through the floorboard.
The two remaining PCs celebrated by pouring cement from a stolen cement mixer onto the wreckage. Then they left to see if they could convince the military from a nearby airbase to bomb that spot for a while.
I've found that making the players stat out THEMSELVES, and then putting them into a familiar situation (your characters are all sitting down to a fun game of DnD), before cranking up the terror adds a nice sense of immediacy to the proceedings.