For Horror in any of the games I run I stick to the following:
Amplify the unknown/unseen - Essentially I over describe ghostly activities; as
RChandler pointed out. Have characters hear odd things but never quite see them. Use typical ghost story ploys of bloody messages dripping down the walls that fade when others come to investigate, etc. Or as
jibbajibba said: possess the children (that is a personal favourite. Typically I find with most players, if they can't hit it or see it to hit it, they start to freak out and panic (in game of course).
Make it personal - I don't know about others, but my players tend to the bloodthirsty lot. If it isn't happening to them or something that matters to them, the tension is lost. More than once they have looked at the plight of the villagers and then quietly walked the other way, whistling jaunty tunes .. terribly heroic lot
Make a firm (and short) deadline - For my players at least, giving them a limited amount of time to complete their objective (i.e. have to stop the ghosts killing their families by tomorrow night) greater increases the tension and their frustrations so that when the spooky stuff does occur, they are more receptive to it.
Most of the rest of the stuff I do has already been clearly stated by others, but the best comment I can make is: Don't overuse the same ploys. It's a trap that I fall into sometimes and since I largely play with the same pool of people, sometimes they cotton on real quick on what is happening.