As others have said, foreshadowing.
I'm playing a Forgotten Realms (3.5) game, and early on I planted the idea about Skullport, a sort of underground Tortuga combined with Mos Eisley, as a place of danger, run by monsters and villains. I mostly was doing this for flavor when I was describing the various districts of the city. Then, as the group faced a foe who became a long-time antagonist, I mentioned he had most likely fled to Skullport. Additionally, they had met other short-term villains who had connections to Skullport, usually very, very bad ones (poisons, slaves, other evil doings). All of this built into their paranoia that Skullport was some place they really, really, really didn't want to go.
Then they had to go there.
I used creepy sound effects and creepy description during their time in Skullport, but what the players told me really got them scared about taking their characters down there was the knowledge of how very, very badly things could go if they slipped up. They knew what sort of people were down there, and they knew some of what could happen to them, and they also knew they didn't know the worst of what could happen to them. They knew they couldn't fight their way out, or bribe their way out, or talk their way out (or so they had convinced themselves). And even though they managed to get out in one piece, their skins were still crawling afterward.
So, build up the potential danger early and let the players fuel their own paranoia.
I'm playing a Forgotten Realms (3.5) game, and early on I planted the idea about Skullport, a sort of underground Tortuga combined with Mos Eisley, as a place of danger, run by monsters and villains. I mostly was doing this for flavor when I was describing the various districts of the city. Then, as the group faced a foe who became a long-time antagonist, I mentioned he had most likely fled to Skullport. Additionally, they had met other short-term villains who had connections to Skullport, usually very, very bad ones (poisons, slaves, other evil doings). All of this built into their paranoia that Skullport was some place they really, really, really didn't want to go.
Then they had to go there.
I used creepy sound effects and creepy description during their time in Skullport, but what the players told me really got them scared about taking their characters down there was the knowledge of how very, very badly things could go if they slipped up. They knew what sort of people were down there, and they knew some of what could happen to them, and they also knew they didn't know the worst of what could happen to them. They knew they couldn't fight their way out, or bribe their way out, or talk their way out (or so they had convinced themselves). And even though they managed to get out in one piece, their skins were still crawling afterward.
So, build up the potential danger early and let the players fuel their own paranoia.