All around are howls, cackles, and other sinister noises, and as soon as you step into the woods something starts chasing you. I don't like the idea of vanilla nasties, just superpowered. I think there should be one singularly horrifying monster that stalks you when you go into the woods, and you never get a really good look at it. It's just like Jaws, it's scary because you never see the whole shark.
Exactly, when you don't know what it is, it's much scarier.
Some darting shadow among the trees that follows you and slowly gets closer is scarier than a big raging monster charging.
After walking forward I heard a not-entirely-natural voice say "Please... Help me!". It sounded distressingly close, so I checked my immediate surroundings. Nothing, that's a good sign. Then, I see inside one of the cells a chair covered in spikes... An iron maiden, shackles... Standard dungeon affair, I suppose, but now I truly respect their ability to truly creep the fuck out of someone.
Oh god, personally, I can't handle stuff like that.
I find a lighted place where the ledge I'm standing on (in a tower, too dark to see the bottom) tapers to the right. There are some keys on the wall. Before I grab them, ding. I hear a distant ringing sound. I look around, and I see nothing. I pick up the keys, and then... DING. The bell is much closer.
That kind of stuff is also good, especially if your trying to do something as you hear the noise approaching. A rather innocent sound like a bell is worse than the sound of snarls.
If you want it to be scary, foremost, it has to be unexpected.
Sometimes certain things happen, other times they don't.
Lets say, for an example, your walking down a hallway and steer into a room in the side.
As you cross the room to check a desk you see a mirror in the corner, reflecting the room.
You search the desk, maybe find a trinket.
As you walk back across the room in the corner of your eye you see something in the mirror, but as you turn to look, nothing is there.
You walk up to it, but nothing happens.
So you walk back across the room, glancing back a few times. Finally you shrug and get to the doorway, and take one last look back.
There is something right behind you.
If you do something like that, then there should only be a tiny chance that it could happen. Sometimes maybe you see something in the mirror once but nothing occurs, you never get attacked. Most times you never see anything in the mirror at all.
A good balance of real danger and perceived danger helps to keep the player guessing and not sure of what will happen.