As I perused the internet for ideas, fear or the unknown kept cropping up. Let me argue this one a little. I don't like the unknown, and, yes, I fear it, but when I, the reader, know something that the protagonist doesn't, I get to fear for them. Don't hide in that shed Veronica, that's where the madman hangs out and he's just fashioned a new garrote from a piano wire and a steel plate. Yikes.
In the Masque of the Red Death, Poe tells the reader much of what Prince Prospero doesn't know. The nobles are indifferent to the suffering of others and it will be their undoing. This isn't the same as Veronica in the example above, but it is similar in that the reader knows something the main character doesn't. The fright comes in the form of the Red Death, but the greater fright is the charge to the reader, be compassionate, remember those less fortunate and those who struggle, lest you also become entangled with a similar specter.
When the author wants to upset the reader's balance, fear of the unknown is a singularly useful tool. For the real scary stuff, the author doesn't want a whole new world, but a parallel creepy one, complete with my not-face in the mirror. Remember the Shining? I never could get my footing watching that movie and I've seen parts of it several times. And what about the Twilight Zone?
When I was very young, I saw a Don Knotts' movie, The Ghost and Mr. Chicken. In it the organ begins to play at midnight. It plays a horrible discordant tune that still scares me to this day. I covered my eyes and ears for this silly movie from the time the organ played until the ending credits rolled. The point for me was that discord. I could handle the minor key, but the jerky rhythm and harsh tones put me so far off center that I had to close it out. Though it was a funny movie and the girls I was with enjoyed it, I couldn't finish it. It scared me.
What else? Senses or lack of them, can be useful to heighten tension. If a narrator hears things only he can hear, as in the Tell-Tale Heart, or can't see, or maybe smells something that triggers a memory, especially if it is a memory of someone long gone. For years I kept a bottle of my grandmother's perfume in my dresser. I could open that bottle and instantly return to a childhood afternoon in her garden. Any afternoon with Granny was filled with wonder and adventure. The smell of freshly turned earth can signal spring or a new grave, author's choice.
On to setting. No place to run, or escape. Boxed in or, alone in the middle of a vast nowhere, both work to signal despair, no one is on the way. Turn and meet your fate, narrator.
Well, my coffee cup needs a warmer, so I'll leave off for now.
Let me know what scares you, reader. Until next time, mu ha ha.