OK, my advice based on running Ravenloft and Helloween...
NEVER let the player's get a good, solid look at the monster. Here's the description of an orcish slasher killer...
The figure, muscular and brutish, spins and pelts down the alley, the ragged clothing of a homeless person filling your nostrils with the stench of urine. Bright red eyes flash from his shadowed face as he glances at you right before he enters the alley, and you get the feeling that he has seen your faces, and marked them for death.
Remember Blair Witch Project, how you never really saw anything? THAT is what scared some people so bad. Thier imaginations filled in the rest, and made it worse.
Have the NPC's nervous, frightened and skittish. If the hookers on 9th Street are too scared to go to work, and the pimps are too, let PC"s making "Knowledge: Streetwise" checks know this. Have rumors abound.
Strange scrawlings in feces, blood, green crayon. Or a single piece of paper with a single phrase repeated over and over and over again.
Play on the player's phobia's too. If you describe how the hairy spider is tapping on the corpses eye with a foreleg as it drinks deeply from it's blue cheek, they'll complete miss: "the shadow form in the doorway is more interested in you, than that spider, which is now withdrawing it's bloody fangs from the cold cheek of the corpse of the dead woman and rubbing it's hairly legs across it's mouth."
Classical music. Can't stress it enough. The slow, langorous melodies are sure to mess with people for some reason.
Take away the character sheets, erase a few things, and write them back onto the sheet EXACTLY as they were. This will cause massive paranioa.
Make them roll, and write down, several Will, Reflex, Fort saves. About 20 ought to do it. At random times, use the top one on the list, cross it out. Next time, use the next one. This will add some serious suspense.
Wound description. Shift it subtely so that the bad guy appears to be causing lots and lots of damage. Do NOT say: "You lost 4 hp" but instead say: "The straight razor flicks out and slices into your earlobe." Record the PC's hit points, and subtract from YOUR totals. If the players REALLY want hp damage told to them, double or triple it to them.
There's a lot, lot more, but let me know if any of that was any help.