- Unknown - The less we know and see, the better. Ambiance. Creaking, walking sounds. Scratching. A flickering shadow in the corner that vanishes. Some of these should actually represent the monsterous elements, though some could be happenstance.
- Mirrors - Some people are terrified of mirrors in the dark. I think the fear could be related to seeing something behind you or more with your features being off. Again, players should not have the opportunity to stare, evaluate, and deem the event as a non-threat.
- The Dark - Something moving. Looking out the window and seeing something slowly swim up from the blackness.
- Mental Degradation - As already mentioned by Tobi. I'd suggest keeping the effects subtle until a full mental breakdown so it doesn't become laughable.
- Stalked in a Place of Safety - Attacks in a bathroom or other places in extreme privacy. In a game setting: maybe have certain conditions protect the player (ex being in full light scares the shadow creatures away, though they should menace from a distance for effect) but eventually that stops working (ex. player hides in a lit garage, door ripped off by the slow, invincible baddie you mentioned)
- Being alone - There should be a depection of safety, harbor, but it should be rare. No one is there to save you. Things we take for granted for contact are shown to stop working: internet, cell phones, television. Maybe the player finally finds a CB radio in the shed and something happens to prevent them from calling for help.
Just some thoughts. I'd love to hear more about the progress on your game!