Confusion can be good for fear if it's done right, however it can be really screwed up badly and make people think 'Was the supposed to happen?' and that can really detract from a gaming experience cause it takes you right out of the mood of the game.
As MowtenDoo said there are some things that never fail - The old headcrab in the vent was sure to have gotten a lot of people a bit jumpy - Mainly because it's so unexpected.
Another one, throwing my mind back to Office Complex' is seeing nasty things happening to others; when you first got through the vents [at the very beginning] and into the small room where you turn off the power you see a scientist being grabbed and gobbled up - This, also, if timed right can be effective, a lot of the horror mood is down to timing. If you just throw nasties in every corner, people begin to get very aware of what's coming next.
If you can get force the player to run somewhere its always good - especially with enemies closing in when they have little ammo and must complete puzzle to get elsewhere, it can put people in a frenzy and get them really panicking about pulling a lever.
Having NPCs be picked off is always good; friendlies work best; if someone is giving you some advice as to where to head when a zombie grabs them from their feet and drags them kicking and screaming into a cramped room
it will usually make the player think 'I don't want that to be me'.
All the best to anyone creating a horror themed game; but please leave the lights on for me