I think of zombies, but in a game focused around letting players slash them to pieces, they do tend to lower the threat a little. Unless you just swamp players in zombies, in which case, that becomes an entirely different kind of scary. When you see a lone zombie wandering through the halls of a derelict mansion and it seems to actually be fleeing from you... that's when it gets creepy.
Lovecraft can also be spooky... at times. But it seems more based on insanity, not being able to trust your eyes, and similar things. To me, that stops being scary once you figure out that you can't always trust your eyes.
I've been reading through the Hangman's Noose and it has a lot of different ways to scare players, the chief being, atmosphere. Obviously, being PbP, atmosphere around here would be a tad hard. Doable, but kinda hard. I've actually written articles in college (when I knew everything :P) talking about game mechanics, and a couple things I discussed was getting the player involved outside the game, and the idea of the dick move (ie. the game developer vs. the player).
In short, a game designer can really mess with a player when they design things to take into account that their is another layer to the game; the player's perception. Or rather, the player as the character. This is why having a monster that's just a tiny bit off, enough to be creepy, is... well, creepy. Players have no doubt seen an endless number of zombies and dispatched or dealt with them in some way that they're used to the shambling roadblocks. Yet, they can still get a scare out of folks, partly because they can be threatening... but only if you screw up getting around them, or dealing with them. Then, the danger lies not necessarily with the zombie, but with you, the player.
I'll use The Cradle from Thief: Deadly Shadows as an example. You spend a good third of the level just wandering around in the dark; nothing's there, you fully expect it to be, but as time drags on, nothing shows up. That alone unnerves a player, because with such a level, you're expecting something to show up around any corner and jump out of any shadow. And the longer it doesn't, the more suspicious you get.
Then, you turn on the generator to the place and you can hear it rattling throughout the entire place. If there is something in here, you probably just woke it up. Plus, you've got light now... and you'd desperately like it to go away so you can hide in the shadows again. You worked hard to get those damnable lights on, but now, you'd give anything to have them gone again. And as you wander around, you see some lights start to flicker... and you suddenly realize why. Those creepy, shambling, twitchy puppet zombies. You can't kill them, if you knock them down, they'll get back up, and they will hunt you down... if they see you. That's the thing: you can hide... but you don't really know if they can see you. They'll wander right up to you, stand there twitching for a bit, then turn around and walk away, making sigh in relief.
After a while, you start to feel like the entire environment is out to get you, like The Cradle is not just a level, but an entity, bent on knocking you around for it's own amusement. That's what a GM can do. Heck, that's what the GM is! It's all in how you manipulate things for your players. Every corner could have a trap, even if it takes multiple times to cross over it. Every item can have a sneaky trick. Every enemy should be memorable, detailed, a nemesis for your characters to beat, even if they aren't directly interacting with them.
...whew, that was a lot.