Come to the session wearing all black - black shirt, black jeans, black shoes, black coat/jacket, black hat, black glasses, black socks, black pants (to be sure). As you take off the coat/jacket they see your button. It's the brightest yellow, has a smiley face on it and the words "I am so evil". That will put the fear of DM into them!
I was going to mention the invisible stunt, but the basics were already told.
And then, of course, you can make one or all players doubt their senses. Works best if there is no illusion magic available, but surveillance gear, but works either way:
Have them find a cute little dog in the wilds. It's sooo lovely, the little rascal, wagging its tail and letting the characters feed and pat it. It stays with them and seems scared of the wilds, so the party takes it with them. Let them spend a night in an inn. In the morning, the dogs gone. And then, either when they ask the landlord about it or just go down to breakfast, have the landlord ask them about that monster dog they had with them - huge thing, as big as a wolf, with red eyes that looked as if it were glowing, big fangs in the mouth with copious amounts of drool running out, fur black as the night, and so on.
Then of course, there will be cases of damaged property in the village, and noone saw something, they only find pools of drool nearby and big tracks. Finally, a child goes missing. The parents report that they heard a really scary howl in the house, when the father goes looking for it, he finds that the child is gone, without any signs of conflict, but with drool on the floor. Have them search for the child, search for clues, while the whole villages fears and hates them.
