The creepiest plot I ever pulled on my players was back in the AD&D 2ed days. I was running the players through my homebrew world, which was new to them.
I had already had them uncomfortable with the twists I had put on the basic races. IE Dwarves and Elves were holding an uneasy truce after years of warfare, halflings were considered barbaric by most other races, and gnomes were evil little creatures that caused all sorts of mayhem.
But, what really got them was the missing child. They were in a town, exploring, looking for adventure, when they met a child/urchin. For whatever reason, one of the players took a liking to this NPC, and helped her out. The child was about 8 years of age, and I believe I named her Emily. She was street smart and not very trusting of kindness, and wouldn't accept anything from the PC except some coin to buy food. The PC kept trying to convince her to stay at the inn with the party, as she wasn't safe on the street.
Now, this was not a planned plot device, but I went with it. I had already had plans involving disappearing townsfolk, and I just modified it to disappearing orphans. When Emily disappeared, the PCs became very upset and began tearing the town apart to find her.
Through investigation, they determined a Cult of some sort was responsible for the kidnappings, and was up to some sort of evil under the city. They even learned who was the local leader of the cult, but couldn't prove it. So, they followed another member and discovered the secret lair.
Turns out, the Cult was sacrificing the orphans in a sick ritual to bring an evil entity from the Far Realms to the world. The party stumbled into the lair, disguised themselves as cult members, and then attacked the 3 or 4 members currently in the lair, killing them. Just as they did so, the leader showed up, leading the town guard on a "raid" and blaming the PCs for all the disappearances, as well as the "murder" of several of their "fellow cult members", as was evidenced by the bodies around them.
They managed to flee, setting up an ongoing battle, but to this day they continue to look at me funny if I introduce NPC children. And they always shudder when I do.
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.
