One way to implicate the players is to offer them horrific, impossible choices. (Let me go back a bit to explain this.)
Conventionally, in horror games, we present players with horror. We show them something horrific, usually a monster, and expect them to respond.
Instead, try giving choices. For example, do you kill the person who's trapped inside the monster, or leave them to be slowly digested? Do you rescue your comrade, risking your life, or escape yourself? Do you give your life to save the town? Or, to take an example from Jason Morningstar's The Black Drop: one of you must be sacrificed. Who will it be?
That way, the players are implicated. Damn right they're implicated: they chose the horror.
You need to make sure it's horrific either way. It's not hard. Usually, it involves a choice between human horror ("If I don't kill/torture/blind someone...") and supernatural horror ("...then this monster grows stronger/wreaks havoc/does horrible stuff to people I care about"). And you need to make sure it's a real choice, too, and you're not railroading them into one option.
I like to put choices like this at the end of scenarios. Often, players/characters will fight over them, and that's a great thing. One character wants to perform a sacrifice, so another turns a gun on them. Often, you'll end up with a bloodbath, and all you have to do, as a GM, is sit back and watch.
There are other techniques too. Most obviously you can make horror scenarios actually creepy. It sounds obvious, but so many horror scenarios aren't: they recycle tentacles and zombies, which we've seen many times before. Put a zombie child in there. Put a river of running bile. Put something that you find unpleasant and, often, the players will find it unpleasant too.
Another technique comes from improv: be obvious, without self-censoring. This is particularly effective in horror. For example, I recently wrote a scenario about Daoloth, a god who helps you "see the world clearly". Daoloth sent one of my NPCs mad. I decided that, to see the world clearly, my NPC had carefully removed his eyes with a dinner knife (they were getting in the way). This seems obvious, to me, but it's clearly horrific.
Honestly, though, offering choices is the best technique I know. And it's the one that actually implicates players in the horror.