The World of Darkness allows you to play vampires, werewolves, and other supernatural and horrific beings. To do this fairly and affectively they had to give all of these creatures clear rules on what their powers are, how they work, as well as detailing their weaknesses, where they come from (or think they come from), et cetera. This places the dark and sinister creatures that were once hidden in the shadows in the spot light. I've said this before - in many cases this makes WoD games not horror games, but dark fantasy. It turns the magical into the mundane.
I believe that the opposite of this: making the mundane magical is one way of adding horror back into these (and other) games. How is this done?
This is repeated from a few posts back, but is important: Don't simply tell the players that, "Four zombies stand in front of you." This makes the situation seem everyday - almost trivial. Just another hurdle to get over. Instead when they first encounter these beings describe the stench that grows stronger as they delve deeper into the room, cavern, et cetera, when their eyes first spot the zombies describe the rotting flesh, brown, dried blood across them. This is a right step in the direction, BUT in can be ruined as soon as a player shouts something like, "Oh, it's just zombies."
Experienced players are probably familiar with common monster templates, know how much health these things are supposed to have, know their powers, and know their weaknesses. So change things up. Make them unpredictable. Instead of having zombies in front of them have them smell the rotting stench of a corpse, but when they come face to face they instead see a creature with a rotting body that has tendril fingers, six eyes that glow red, and an alien shriek that chills the air. In the moment they won't know what this creature is, won't be able to easily classify it, and this will make them feel uncertain - How deadly is this creature? What is it? What can it do to me? Related to this: don't have the players encounter the same types of creatures over and over - if your goal is horror or even to challenge them. Encountering this same strange being a second time might have other advantages: it allows them to apply knowledge they learned fighting it the first time making their progression feel meaningful - and if this is more valuable than creating horror by all means go that route, but if your primary goal is to create horror, than don't have redundant encounters.
Another way is to make the effects of an area erratic. One character who enters a haunted tomb goes blind as he enters. He comes out and reports this. The players might expect they'll all go blind on entry, and so prepare for this (maybe casting some kind of spell they think can prevent this, or taking a magical antidote). When they all enter only the first player goes blind. Another gets dizzy and has to roll to see if they can even walk on their own, another may not realize it right away but his gun (or whatever weapon) is covered in centuries of rust. This throws things off balance, and it's then not clear what will happen.
Related to the above is the idea that player characters should not have the power to affect all levels of reality if your goal is horror. Having levels to reality allows there to be evil or horror that isn't defeatable or maybe even understandable. These outer levels though should be more hinted at and permeate scenes or areas. Directly fighting such evil is an exercise in futility. I like the way Spirit of the Century defines one of its primary antagonist NPCS: He's not so much a character as an event. A warning though: you must be careful how you use such levels of reality. If every time a character wants to cast a simple light spell in a dark place and you don't allow this to work because a deeper or stronger kind of magic is there it makes the player feel powerless and merely walking down whatever path you want them to instead of being able to make decisions themselves.
With this then it should be noted that not every scene or even maybe the majority of them in a story should have the goal of creating horror. Horror is or is much like suspense. It needs to be built up gradually to work affectively, and if every scene has a horror beyond reason then once again this becomes the mundane.