Horror often comes from feelings of alienation, isolation and powerlessness.
Alienation has to do with lack of knowledge, understanding and empathy. There should be no logic, no way to reach an understanding or compromise. How do you fight something you do not understand? How to you oppose something those goals are unfathomable but includes eating your brains? The more you understand it, the more you use magic (say), the less like normal people you are. First animals run away from you, then people start moving away from you. You fail to see emotions, you are losing yourself. All your NPCs speak in a bland and toneless tone... They are not really doing it: the PC just cannot tell the difference between joy and sadness, calm and anger, pleasure and pain. You are alone.
Thus isolation which has to do with lonelessness and lovelessness. You are isolated form those around you. No one trust you, nor can you trust them -- after all, they are going to eat you given the right time. More so, the easiest way to deal with this one is physical isolation. Fear is greater if you are alone rather than if there are hundreds of armoured troops with ranks and guns around you. The lone cabin in the woods is a better setting than a New York flat. Or is it? There are noises at the locked and barricaded door, but you know it's closed. IT cannot get in. You bring some light towards the door. The clawing stops, followed just by dripping sounds of wet viscous liquid pooling. The door is still locked. The claw marks on the inside. IT's in here, with you.
Which bring me neatly to powerlessness. Weapons are ineffective, it's too big, too strong, too fast, too oozing, too many tentacles. Spells are useless, all they do is attract more servants to it or worst, just power it up. That "bind" spell was a lie, all the minions that were fighting for you are now IT's minions. Kiss your arse goodbye. Time to flee. No matter what you do, you have no hope. No hope for yourself, no hope for mankind, no hope at all. Not even a quick (or a long and painful) death will release you.
As a final note, you as the referee, are the players interface to the world. You can mess with their perception of it as much as you like. Make the players not sure what they characters are seeing and you're going to combine a lot of powerlessness feeling due to isolation.
If you are truly evil, find out what the player (yes player) is afraid of and use that. Girl/boy friend, friends, siblings, may all help you there. However, be careful not to cross the line between fun scary and "Whoops, he just passed out better call 999".