wall of text incoming!
well, one thing that scares me a lot in real life is mice and rats. horror game wise, i have a few ideas.
first off, in a horror game, if you have something like, say, a scary sound, for example, maniacal laughter, but it turns out that the sound is played every time you get to a certain point, it becomes not scary. for a sound to be scary, it has to actually come from something that can hurt you. i've played many minecraft horror maps, and because i know so much about the way maps are made, they don't scare me much.
i know that in general, the scary things are triggered by something, such as getting to a certain area, or opening a door, or something else. therefore, if i hold still, even if i'm in the hallway of a haunted mansion, nothing can hurt me so i have nothing to fear. however, if the sound comes from a creepy monster, then you get scared when you hear it because you know that something can actually hurt you.
if you are fated to lose in a horror game/map, then it loses the scariness. it's the hope that you can avoid the dangers and make it to the end that gives it the fear. with me, for example, when i play games i tend to get really into them. so if i'm in a game with a plot, and i die, i see that as the character dying and so i immediately think "ok, the main character is dead. rip plot".
so a lot of the thrill of horror games is "ok, can i manage to survive all the way through this and win, or will i end up dying and end up with a lousy ending?" this is why horror games with the ability to respawn after death tend to have less fear value in them(at least for me), and the game gets scarier the further into it you get. if you are close to the ending, you get more scared, because you are almost at the safe point, and one wrong move is more disastrous than ever.
if the enemies are unpredictable, i.e randomly spawn rather than always being in the same spot, it's scarier. when you never know what's gong to happen, that adds a constant dread feeling that makes anything happening scarier(and also makes jumpscares more valuble)
concepts that scare me are things like being trapped in some horrible place alone with no hope of escape, such as being lost out in space, or in some creepy dimension, or even being stuck in a dream with no way to tell if you've actually woken up or are just dreaming about it(terry pratchett's first "the wee free men" book has things like this, i suggest you read it).
music is also a helpful element, and the right music can turn a slightly creepy game into a very creepy game. on a non music related note, having places to hide may actually make the game scarier. that's because you can hide there, but then you know that you will eventually have to leave the safe zone, and you will be tempted to stay there the whole time but you know that to truly escape and be safe, you must leave and risk losing. maybe make something where hiding in a safe spot, such as a cupboard, would increase the chance of a specific enemy finding you, forcing you to leave. also, if you can't see while in a safe spot, it's scarier. when you don't know if you'll be attacked when you leave, that makes it scarier.
blood is not very scary, to be honest, as it does not signify that that area is any more dangerous than the blood-free areas. it just says "this area is supposed to have a creepy atmosphere. please feel scared. have a nice day!
". when the worst that can happen is death, it's scary, but it doesn't evoke the same panic as something like i mentioned above, which kind of freaks you out a bit even after you stop playing.
finally, when you make an enemy that looks like something harmless, like a gargoyle, it scares you every time you're near one. i played a minecraft horror map with the weeping angels mod that had this, and it was pretty cool. however, you should randomize it so you can never tell for sure if a gargoyle(for example) is harmless or not. also, the graphics of a game can change how scary it is. for example, games like unturned or terraria don't scare me because the graphics are just not very intimidating, but games like undertale or scorchio quest kind of creep me out because of the graphics/atmosphere/music/any combination of the three.
to finish off, here's a link to some neopets stuff that's mildly creepy and might help give you ideas.
http://images.neopets.com/games/scorchios_quest1.swf http://www.neopets.com/halloween/house_movie.phtml http://images.neopets.com/games/scorchios_quest2.swf
thanks for reading this, and i hope it helps!
p.s. games with multiplayer are not very scary as you aren't alone.