@TheFool
And I'd say that probably one of the keys is the unexpected, when they make you lower your guard...
I remember a one-shot he GMd were we -the group of investigators in the mid 1920's-, had to go to a small town in a desert area of our country to investigate some disappearings. We arrived at a train station and then had to take a small bus that would take us to the city. During the ride the people were very reluctant to talk. He described the personality of the rest of the people of the bus and that already was kind of unnerving but not in a terrifying way but rather a sort of a "what's wrong with these people" way.
At some point after leaving the bus, we asked for directions to get to a guesthouse our employees had prepared for us, and people completely changed their attitude from "ok, what do you want now, we're working here" to "jeez, really? to Christina's house? you guys are definitely not from here, are you" (I don't remember any names from the story so I'm just making them up).
Although later we arrived at a guesthouse/manor, where the lady that received was very kind and helped us with a smile on her face. That was a relief after just awkward conversations from the beginning at the bus. Christina was a lady on her 40s, widowed, in charge of a too-big-for-her house, frowned upon by the rest of the people as a "spinster".
Christina prepared us some dinner and talked very proudly about her son that was outside doing some chores or something. She talked very lovingly about him, calling him Andrecito (diminutive for "Andrés" or "Andrew", a way of making a name sound more sweet, usually used by mothers). She talked about how good hearted her kid was, how much he helped her around the house and warned us of how good a talker he was.
We were already sitting at the table, talking about life, asking her questions about the city while she prepared and started putting food on the table. So she asked us to wait a second so she can go and bring Andrecito with us so he could help us a little a bit more with information about the city and even probably taking us there as he was way more active and outgoing as she was.
At this point I should remember that this friend of mine apart from being a clinical psychologist also worked for several years with kids and families, so he can certainly make any everyday-people NPC VERY realistic. We were already very happy talking to this easy-going lady. She was very sweet!
She went out of the room and a couple of minutes later we hear some squeaking of wheels outside the door. The door opens and we see Christina pushing an old wheelchair. Sitting on it was a person. He was around 20 years old. Completely paralyzed, in an awkward position, dirty clothes, messy hair, drooling, with his eyes looking at some random spot in the air, trying to breath as calmed as he could. "Andrecito! These are the people I told you about! Go on, don't be shy say hello to our guests"...
Man, we were frozen. We the players were looking at each other without knowing what to do or what to say. Our characters therefore were shooked as well, but Christina was in her own world. "Oh, my dears, please don't mind him, we don't received many guests lately so he's probably a little shy today, usually he's the life of the party, but please go ahead and ask him what you need".
After a couple of minutes we started talking again and trying as best as we could to not disturb this lady and act as if everything were just fine. But man were we wrong, every couple of minutes she did something unnerving. From feeding him with a spoon, where half of the food just dropped and half he swallowed TOO slow, to pushing us to talk to him, to what we received just slow and awkward eyes movements or involuntary drooling.
But that was just the setting of the story. From that point forward everything wen to hell. I couldn't remember everything, but as a sample... That night we went upstairs to try to have some sleep on the guests rooms. For obvious reasons Christina and Andrés had rooms downstairs...
At some point one of us heard something on the hallway outside our rooms. She was already super uncomfortable with everything, so she reluctantly walked very slowly to the door and put her ear on it. She heard a very faint metallic sound, as the sound of a very old door knob... or a wheel... She opened the door a slit and peeked out... there was the wheelchair, empty, on the middle of the hallway.
Anyway. Never play horror games with that kind of people

PS: during that session we didn't rolled a single dice. So yeah, systems for that type horror could help, but are not THAT important I think.