If you have Rise of the Runelords, it has some great horror elements in it:
The Skinsaw Murders has great ideas if you want the Haunted House sort of horror. Scary setting, intruders witnessing strange scenes that go under your skin...
The Hook Mountain Massacre has a very different sort of horror. It's the "depths of the mind's depravity" sort of horror. Brutal, shocking, making the characters fight all the harder when they see that if they fail, the best thing to happen to them is dying during the fight.
And Spires of Xin-Shalast has an episode of a haunted location up in the mountains, showing what greed and deprivation can drive you to.
The bugbears from Classic Monsters Revisited are also deliciously monstrous. Especially against lower-level characters, they can become real nightmares.
Beyond that, some general advice:
A horror game needs player cooperation. You can go to great lengths to make it memorable, if the players are determined not to get into the mood, to have off-topic conversations and make fun of everything and everyone, you'll be swimming upstream, up a waterfall. So tell them that you want a memorable session, that they stay on topic, and try to get into the mood. If they don't want to do that, or they cannot, you might as well run a regular game - the end result isn't that much different, and none of the extra steps are required.
Set the mood with music. This is actually true for all RPG: a "soundtrack" helps to get into the mood. Have something slightly disturbing, but not very noticeable as standard, and have more drastic music for your more thrilling scenes: If you want introduce some sudden element, something to shock them, have some right shocker music to help you. You might even want to crank up the volume for that. For actual combat, have something driving and scary.
Dim the lights. Have enough light so that everyone can read his sheets, notes and dice, but no more. Of course, don't play when it's still light outside. If you want to go the extra mile and have some cottage in the woods handy, or just some hut, it's even better.
Give everything a twist. Many people know a lot about the game and its "monsters", to the point where they become mere XP sources. If you want to induce horror, the Unknown is your collaborator. Mix and match stats and abilities, and especially look. So you're using the general stats from the howler, and use the howl, too (have some howl you can play in that instant. If you want to go the extra league, have it play from somewhere else, not your regular stereo/speakers. Have some remote controlled device out by the window), but this thing has black fur and limited shadow jump ability, so once it gets out of side, it disappears completely)
Build tension. Very important.
One very important thing: Know your players. Know what gets to them. Tailor-made horror is so much better. But also know how much you can lay on them. You want a memorable session, not something where you exploit one's phobias to drive him into a psychotic breakdown.
