Let's explore some horror tricks you can use at the table. And please, if you have more, I'd love to hear them.
First, and this is true of any genre that has a particular tone, the best trick is for the players to respect that tone. But how often does THAT happen? ;-) And yet, the GM can possibly add to it by playing "horror host", narrating the game as one might a chilling camp fire tale.
Creepy music might help, adding to the suspense of certain scenes. Disturbing sounds beamed right into the characters' heads can also serve, though running an unnerving campaign of sonic terror on your players, as if they were inmates in a secret prison, isn't as easy as it sounds.
There's lighting, of course, but have you really gotten any real creep factor from low light levels or candles? I think it adds a bit of fun - and half of all atmosphere elements in RPGs are really to signal we're doing something different - but dread? Not sure.
Horror games may have mechanics that help, from which we can draw lessons. Call of Cthulhu's Sanity mechanic, for example. If even glancing at a book that discusses the Elder Gods can drain your Sanity, everything becomes potentially "damaging", especially the things you MUST do to resolve a scenario. That creates tension, and in tension, there's fear for one's character. The World of Darkness games have a similar existential threat even if you're playing monsters. Their inhumanity keeps threatening to draw them away from the player's control. How does this differ from physical damage? I think it's easier to see what might cause wounds, whether combat or dangerous stunts. Threats to one's mind or soul are more nebulous and often create a moral dilemma. Uncertainty, then, is what creates that sense of dread, and that's something you can throw into other games fairly easily. For example, remove players' capacity to track their own hit points. Be vague about the severity of wounds, never revealing just how weak they're getting. Suddenly, everything seems more dangerous. The players get scared, the characters do too.
Have you tried some of these tricks? Do you have your own to offer? Or great stories of players properly adding to the mood of your horror game? Let us know!