Hiya.
One thing not mentioned yet...
pacing. I Keep a campaign of Call of Cthulhu every year or so; it lasts roughly 3 to 6 game sessions. The key to a good CoC campaign is many, but pacing is extremely important. Add that with "normal things behaving decidedly non-normal" and you get the creep factor rising. The same method's can be used to get other feelings aroused in players. Couple pacing with foreshadowing and you can get some "thrilled" emotions going. Take pacing with a dash of secrets and you start increasing a sense of foreboding or hope (depending on the secret learned). But, the key thing is...Pacing.
Now, that's not an easy thing to just "do". It takes practice, and it takes you knowing your players...not their characters, the actual people sitting at the table. You need to be able to read their faces, body language, vocal tone, etc. But once you master that...the world's your oyster!
One more tip: "All mountains start with a single grain of sand". In other words, don't tell the players/PC's that an army is massing just over the mountain range through Dead Gnolls Pass. Start small (pacing, remember?); a single gnoll scout is killed by some farmers. Then, over the course of another session or so, toss in more and more gnoll-related tid-bits of info and encounters (secrets reveled, remember?). Keep bumping up the pace a little bit here and there. Use some forshadowing to indicate that there's definitely something up with gnolls in the area.
Eventually it will get to the point where the players don't know which way is up...this is when you can spring the "You look to the hills. They look like they are on fire! It slowly dawns on you all...the hills aren't on fire. It just looks that way. Hundreds, nay,
thousands of campfires dot the landscape. The gnoll army is here!". Allow that to sink in for only a moment, then roll some dice and... "Suddenly you hear a muffled gurggle from the sergeant next to you. Blood falls from his mouth and he sinks to the ground, a look of painful surprise on his face. The gnoll assassin's blade still drips with blood as he looks into his next victims eyes...yours!".
See what I did there? Hit them with a big reveal...gave them a moment to think about how to defend, attack, prepare, defend, etc against the gnoll army a few kilometers away. In other words, I deliberately got them thinking and imagining distance between them and the threat. But then...BLAMMO! Right in the kisser! The player, in his minds-eye, was picturing a vast landscape with far-off threats....then BLAMMO!...his imagination has this deadly threat pop up out of nowhere, right in his face! (like a jump-scare in horror games/movies) This will give the players that dreaded thrill of "Oh crap! I'm not ready! WhatdoIdowhatdoIdowhatdoIdo!?!?!...". Let that play out for a few rounds. Then...DOUBLE WHAMMY! Rocks hurled by the gnoll siege weapons strike a tower nearby, the walls of the castle, and one crashes through one of the inner courtyard buildings. The gnolls have launched a surprise attack! Now that sense of "That's it. We're all gonna die..." kicks in.
If (when?) the PC's and their allies/friends push back or defeat the gnoll's, slow the pacing down. Use slightly longer pauses in your speech. Use longer sentences with more detail. Let the players catch their breaths and start to think about what just happened. Let it all sink in. At some point, you'll see smiles, and probably moments of utter silence as they actually start to realize just how close they came to dieing. A sense of accomplishment, relief, and yes...that tingly feeling going up their spine.
This is all done with pacing. You need to put the players emotions through the wringer...jump them from dread, to fight-or-flight, to hopelessness, to joy. The pacing of when you try and illicit these emotions in your players will determine the ultimate success.
Good luck!
^_^
Paul L. Ming