I've found for horror games to be effective, you need to do a couple things:
1) Give detailed descriptions, but don't always rely on what the player's see, but rather what they also hear, smell, taste, and feel. For example, the players find the body of a man who has been torn in half, and his legs are missing. You might say "You open the door into a dark room that has a sickly sweet smell, and you can hear a faint buzzing noise. As you move cautiously in, probing with your flashlights, your foot slips on something, and you catch yourself by bracing your hand on the nearby sofa. Pulling your hand away, you feel something sticky on your hand, and see a trail of blood from the sofa to the corner, where the corpse of a man lies in a heap, his legs missing. You feel a cold chill creep down your spine, and fight back the urge to vomit, tasting bile in your mouth. A noxious cloud of flies hovers about the body, and the pests scatter as your light strikes them and you move closer." Do this enough, and give all the senses, and you'll be amazed at what happens. Just don't overdescribe gore, but hint at it.
2) Build tension, then release it, only to build it up to a greater height again, then release it. This does wonders for creeping out people. Have something creepy happen, then break the tension by having something funny happen. For example, in the example I gave above, maybe have one of the invesitgators slip in a pool of the blood, and land on his butt in it wearing his nice beige trousers. As he gets up, show the psychologist in the group a prop that looks like a rather ridiculous/dirty Rorschach ink blot and tell him that is the pattern he sees on his buddy's pants. Let the other members of the group see the blot, make some funny statements about it, and help clean their buddy off. Then when they move back to the corpse and start to examine it, have the corpse start to twitch violently. Build tension slowly, but let them release the tension occasionally with something humorous- it makes the scary parts that much scarier.
3) Take everyday events and places, and modify them slightly, making them feel alien, out of place, and threatening. A graveyard or victorian era house are expected to be a little unnerving, and players will be on their guard. However, a weird shadow in the corner grocery store while the investigator is buying food, or strange rattling and bumping noises coming from the invesitgator's car trunk while he is driving are guaranteed to set nerves on edge.