Play with visual cues
Darkness is (an authors) friend when it comes to horror. Your reader/player can't see what's in front of them, which plays together with the *fear of the unknown already mentioned by @AlexandroChen. But it's more than that: the change of lighting will make your player prefer to stay in some parts of your game.
Where would you like to be? In the brightly lit room or in the dark corridor with the flickering lights?
The answer is easy. But if you stay in the room nothing will happen and the game can't progress. Your readers/players will want to know what happens next, they want to know what awaits them in the darkness - and they want to know where the next light source is.
Playing with light sources is also a great way to instill a horror feeling. Let your reader/player find a torch. It's not much, but it gives your reader/player a way to cope with the darkness, a way to feel safer - until they are in the middle of the dark corridor, suddenly hearing the wind howl (it was the wind,... right?) and their precious torch being snuffed out.
Suddenly change the stage
What is often done is to suddenly change the change. You are walking through an old, dimly lit, room with your torch illuminating what is next to you, even if you can't really see the walls of the big room. The wooden boards underneath your feet are squeaking and you decide to choose the stairs to the next floor - when the stair suddenly give way and you fall into the basement. What's even worse is that there seems to be some kind of leakage somewhere - your torch landed in a small puddle next to you and is now unusable. From above you can see a little bit of light, just enough to see your immediate surroundings. But you have no idea what lies ahead of you... or which way is ahead in any case. How do you get out of here again?
Use the light to show cues from previous/current inhabitants
When you find a light switch in the big, old classroom you suddenly realize that the windows are not simply dirty - there is blood all over them, which you couldn't see in the darkness. The chalkboard was not empty - the writing on it suggests that someone is watching you. The chairs and tables weren't simply arranged in a messy way - they have a lot of scratches from what appears to be wolf claws.
Brilliant. Also, to add to the mixed feelings towards "light vs sarkness [sic!]", we could learn that 'that which we fear' may in fact find us easier in the light - making the player want to stay in the unknown at certain points.
To add to this: imagine you find a lit torch. Gods be praised, a torch that gives you some light so that you can finally see your surroudings again! This must be a present from Heaven to aid you in getting out of here!
But... who... or what... lit the torch...?
And more importantly: where is it...?
Why wouldn't it show itself? Should you call for help or just run away into the darkness as fast as you can?
Make your readers/players simultaneously yearn for and fear the light at the same time.