I ran a more horror-themed campaign once a few years back. Basically, the PCs were various rag-tag characters in a growing city originally founded by ancient cultists whose memory was lost long ago, and much of the PCs gathering together in the first few sessions involved the local teamsters and shipping company where one of the characters worked as a freight handler (when she wasn't pinching purses on the side as a rogue). There they met a few more notable PCs, like the halfling co-manager of the company.
Another was a young child who was the daughter of a tribal priest who had set up shop near the city walls (the city was a trading center for a more "civilized" people, gypsies, and tribal barbarians). There was also a teenaged messenger boy npc who worked for the manager of the company, but in reality was really a girl disguised as a boy to escape her abusive father. She took a strong liking to the party's paladin, which sort of creeped him out a little in and of itself because he still thought the messenger was a boy at the time.

I remember he said the wrong thing to the kid and she took offense to it, and ran off crying. Giving the paladin an evil look, the party's rogue went off after him(her) to try to console the kid.
As the adventure got rolling, the church bells at the town square rang, signaling the end of the work day but strangely keep on ringing and ringing, causing the PCs' vision to blur and sense of hearing to distort. They eventually blacked out from the vertigo. When they awoke, the company's warehouse where they were operating at the time looked to be abandoned for a good many years. The PCs would hear the sound of a young person crying and sniffling within the dark confines of the warehouse, but could never locate the source of the strange sound. The paladin PC was more than a little disturbed by this, and could detect traces of evil here and there but nothing specific.
When they went outside, it was perpetual night and fog shrouded the city, and it appeared to be snowing. While it was cold, it turned out to be ash, and it covered the entire town, which looked to be deserted as well with not a soul in sight. While trying to figure out what had happened to themselves and the city, the PCs decided it wasn't safe to stay at the warehouse and headed in the direction of the cathedral. To get there, they had to cross the bridge over the river that cut through the center of the city. When they got to the river, the bridge had long since collapsed, but a strange cable car-like system had been rigged in its place with ropes and a mill where they were connected.
Inside the mill, it looked like pack animals were used to pull the wooden wheel (covered with dried blood) to operate the cable-car and a strange buzzing noise like that of flies. A large winged shape amongst the rafters panicked the PCs into shooting blindly with arrows and bolts, and they struck a winged goblin/gargoyle creature based on Gratch from Terry Goodkind's Sword of Truth series (which hunted by using blood-flies to hone in on prey, as I recall). It didn't attack them, just startled them, and as it turns out, the creature was with child, if you can call it that, which made the PCs feel somewhat guilty in the end (the buzzing of the flies did make them nervous for a bit). After healing it, they eventually befriended the beast (although it couldn't speak, it seemed intelligent enough to understand what they wanted) and it even agreed to push the wheel (it being the only thing strong enough to) and let the party cross the river. As they were traveling over it, they saw disturbing faces staring up at them from the swift, foaming waters, beckoning the PCs to join them.
Along the way, they would meet an old crone who had taken up residence in the town square. She was robed and always had her hood up, and her face veiled and well hidden. The only thing showing were her hands, one of which was gnarled and twisted as one would come to expect from old age, but the other was youthful, smooth, and fair. She would speak in a hissing whisper and one couldn't exactly gauge her age from it alone. The PCs found her appearance (or lack thereof) more than a little disconcerting, not to mention her underling, a slavering, nasty bug-eyed creature who shared more than a passing resemblance and demeanor to Gollum (who was in reality once the halfling co-manager of the shipping company, although the PCs never really figured this out). For reasons known only to itself, it kept wanting to murder the party every chance it got, and was trailing after them for a while (always in the shadows and out of sight, none except the party rogue would hear or catch glimpses of it), but the crone restrained it, if barely. The party would find out that she was the shaman's daughter that they had met when she was a child.
Well, that was a bit longer than I thought it would be. There are a few more disturbing events at the cathedral, but I wrote enough as it is.

But basically, I took a few ideas from the Silent Hill series of games, and gave them a D&D twist. No zombies though, but ghosts and not so friendly blood-fly monsters were another matter. A shame the campaign didn't last long enough to get into the real meat and potatoes of the cultists who were behind the strange goings-on in town.