It's very hard to capture that. As I said before, do things that make little sense, but have an atmosphere to them.neither will cause a Player to get that creepy feeling that something is standing behind them, raise the hairs on their neck, get the adrenaline flowing and their hearts pumping. That is the fear I am talking about and to date I've only seen one GM who actually pulled it off.
For instance, a light in the distance that turns out as the characters approach. The wind weeping instead of howling when it blows. The distant cry of a baby where none should be. A room in some ruins/abandoned castle/whathaveyou that is pristine, normal, and with nothing wrong with it. The constant drip drip drip in an otherwise dry place, with no source. An object that continues to return to its place, no matter how many times it's removed. Objects that shouldn't be there (an animal's skeleton in a child's toy box). Anything that is deformed (a-symmetrical face, for instance).
The mere presence of statues, I've found, make people very, very wary, because they're expecting the statues to come after them.
The DMG has a suggestion similar to this. Everyone fights mummies, which have a strange, spicy smell to them. They smell that scent again, and gear up for a fight... only to find the embalming room where mummies are made, and there is no threat inside. Then later, outside the throne room, they smell the mummy smell wafting up under the door.