I just had an hour-long conversation about this just the other day about a long-term Ravenloft game I have been running.
Ravenloft is supposed to be a game of gothic horror. Emphasis on the horror part. In order for this to work, the characters must actually experience emotions like fear, horror, revulsion and the like. One of my players keeps running her character as trope The Jaded Professional, a la the original Van Helsing in Dracula. Nothing fazes her character, and when one character is utterly unconcerned, the other players/characters tend to relax, and then NO ONE is fazed and things run much like a normal DND game. This totally destroys the mood I am trying to create and turns my "horror" game into little more than monster bashing.
I have been struggling with this a lot lately and I'm not sure how to get things back on track.
It's my experience that horror scenarios usually end up just another kind of monster to bash.
In order to feel fear and uncertainty, something you care about and have an emotional investment in must be threatened. For example, if you have long-standing PC:s or NPC:s with a lot of in-game history and lots of player involvement, people may be afraid of losing those. (However, in this case too-much threat can trigger extremely careful and non-heroic play - you know, prodding every square of the map with every tool at disposal...)
If the players lose their PC:s easily and regain newly rolled-up characters just as quickly, and NPCs are even sketchier, there is little emotional investment, and even less reason to feel fear or even apprehension.
For example, my DM recently ran a two-session horror scenario in his regular campaign, where various person were trapped in a court house and punished horribly by a vengeful spirit. It was first when my character in the second session got emotionally involved with one of the NPCs and decided to save her "come hell and high water" that things started to get scary and interesting.