I remember playing Theif (the first one). Around halfway through the game, after completing a half dozen "maps", I found myself in a secret basement under a church. Dark, abandoned... and of course by this time, the "theif" persona of the main character had been driven into me. Nobody knows you exist or to look for you if you go missing. Combat is not the theif's forte, with a 50/50 chance of making it out alive.
So here I am, in a secret unused basement corridor underneath an old church, at night, alone, with little more than a blackjack... and up ahead of me around the corner, I hear the familiar shuffling of chains and low moans of a zombie...
That was like 10 years ago. You want to get someone scared? Immerse them in the game, first. And take away all the guns.