Injecting Horror into your Game
1: Ignorance is Bliss (Or Terror)
This is the most important rule. Horror is ignorance. Keep your players in the dark (literally as much as possible) about everything. Who they are fighting, how things got so bad, why things are happening the way they are. Dungeons should be dark, with plenty of places for creatures to hide.
2: Take it Seriously
Some games are very casual, and that's fine. However, if you are running a horror game, you must keep things serious. You should not joke during the game, and you should not encourage your players to joke.
3: Use Descriptions, Not Mechanics
Avoid calling things as they are. Instead of saying "A Giant Spider steps into the cave." Explain it's a "a gigantic, many legged monstrosity" or "some hulking creature, its many black eyes gleaming..." If the PCs deal it damage, tell them that they have lopped off some piece, but it keeps coming. When it dies, perhaps it will squirm around a bit. Don't tell them that it's dead - say "the creature drops to the ground, squirting vile red juices across the floor. It's black eyes start to melt across its face..." Don't take them out of initiative unless they ask to be taken out.
4: Slow Burn, Not Cheap Thrills
Don't try and scare your players by having things jump out at them. It won't work. Instead, give them long descriptions and slowly build tension. Horror takes a while to fully develop, so don't expect to give it to them all in one dose.
5: Use New Enemies or Mechanics
Meta-gamers or long time plays won't be scared by a zombie or skeleton. They have seen each of these hundreds of times, and know how to deal with them. Instead come up with a new enemy, or some brand new mechanic, and thrust it on your players. If you like, simply refluff old enemies, giving them a new look and feel. This will put even veteran players out of their comfort zones. These aren't zombies, they are writhing, human shaped piles of internal organs (with the same mechanics as zombies).
6: A Dash of Confusion
Things happen for no reason. Strange, but small, occurrences are just unexplained. Players are used to solving puzzles - give them puzzles they can't solve. Confusion is scary, but it can also be frustrating. Go easy on it. Players can only immerse themselves so much, and if the game becomes too confusing they will get annoyed and may take it out on you.
7: The World is Scary
When world building, make it inherently scary and try to avoid common tropes. Perhaps there is always the threat of strange invasions from the unknown, perhaps the dead linger, perhaps children transform into monsters in the dead of night. Give the players little to no control over some events, and make sure that they are weak in the face of many threats.
8: Fleeing is Better than Fighting
The objective should not be to take out the enemy, or to retrieve the lost artifact, or to save the king. The objective is to survive. If players are fighting for something besides their own skin, they may feel emboldened. Place them in some fights against obviously unbeatable foes, and kill their allies in front of them. Make the encounter about escaping from something, rather than overcoming it.
Here is an example of a horror themed dungeon. To really up the ante, remove some of the puzzles, including Room 4, 5 and 6. Jacob's Tower, Level 7: Gothic