Scaring players out of game? Show up reeking of booze with a half-empty bottle of Jack Daniels and a fully loaded shotgun or other large firearm.
Scaring players in game requires thinking theatrically. Timing is especially important.
1) I used Kodo's theme from "The Hunted" as mood music once. However, instead of just playing it, I ran the adventure sans music for about an hour before turning it on- like the Darth Vader theme only gets used when he's on the screen, it was used only for certain scenes.
I waited until the players were DEEP in discussion about how to handle their predicament (naked, unarmed, and on the menu of a large felinoid hunting party within 24 hours of campaign time). After about 20 minutes (RW) planning, the villains were about to start hunting the party- they had been told there would be an audible signal to the start of the hunt. I allowed them to continue their discussions while I quietly and surreptitiously pressed the "play" button on my CD's remote.
"The Hunted" starts quietly and slowly builds...always rhythmic and driving, though...then, about a minute or so into the song, the drumming gets serious. One player stopped mid-sentence and asked "Uh...do we hear that?" gesturing at the stereo. "Yes."
The players shifted from talking to doing within seconds...and you could hear the tension in their voices and see the stress on their faces.
It was as if they were THERE.
2) Don't fudge to save PCs- let actions and dice rolls have their consequences, including PC death. This is a biiiiiig step to restoring fear and loathing.
By that I mean that once one PC dies (especially early in the campaign before dead PCs can be brought back), the players will have a little more hesitancy before launching their PCs into the uncertainties of combat or darkened rooms. Once a PC dies, never to return, players realize their victories are not assured.
Once that 1st death has occurred, feel free to fudge as much as you need. You WANT your players to play their PCs as heroes heroically- they MUST take unusual risks- but you also want them to FEEL the riskiness of the situation.
In Joel Rosenburg's Guardian novels, modern RPG'ers get thrust into a fantasy world as living embodiments of the PCs they played. They were still thinking of it in game terms when one of their number got killed. Permenantly. It was no longer a game to them- it was real life.
Killing 1 PC will alter the players' perceptions just as quickly.
