Creepy

There's nothing quite like a horror story creeping you the hell out. There's something about it... It's like the feeling you get when you're all alone in a big empty house, except amped-up to 11 and since it's a horror story, you know something terrible is going to happen, but you're not sure what or when.

Machen's Folklore

I've been reading through Arthur Machen's "The White People and Other Weird Stories" with it's criminally misleading cover art, and he is truly a master of Creepy.  Lovecraft says of his work

the elements of hidden horror and brooding fright attain an almost incomparable substance and realistic acuteness(Supernatural Horror in Literature)

His story "The White People" has some of the the creepiest faux-folklore I've ever read. We're reading the diary of a young girl whose nanny has been secretly indoctrinating her to occult practices.  Along the way she tells us some of the tales nanny told her, hinting at what's to come...

• The tale of the Hollow Pit
• The tale of the White Stag
• The story of Lady Avelin 

One of the reasons I found these tales within a tale(within yet another tale) so creepy is that their meaning is so ambiguous, and yet you know it's something terrible. What is in the pit? Who is the lady who dwells in the heart of the woods? Did Lady Avelin meet a horrible end, or was she the lucky one?

Gaming

I'd really like to introduce more creepiness into the games I run. One option is to give a handout with a creepy tale in it, but I'm not sure my literary skills are up-to-par and long handouts in the middle of a session tend to be skimmed and then forgotten.

Perhaps if the characters find the remains, or hear the tale of some utterly strange ritual or experiment? Or if they hear strange tales about the place they are going, and then when they are there, the rules of nature seem to begin to break down...