Scaring your players isn't easy. In early editions of Dungeon and Dragons, players understood the pseudo-adversarial role you play. You put that sphere of annihilation at the bottom of the pit trap, but it wasn't personal. Somewhere along with the way, players were exposed to the soft, downy warmth of challenge ratings, cooperative fiction and the disposable heroes of Call of Cthulhu. They lost that visceral fear that we feed on. We, of course, being GMs.
It is easy to make players laugh, but face it, horror is hard to do right. In real life, worrying you may die is terrifying. But, being worried that Rothgar, Dwarf Fighter 5/Cleric 1, might die? Not terrifying. Worried that Hans Hunkerson, the failed European Model turned PI might die? Ok, slightly more terrifying.
Slasher fiction doesn't really frighten a lot of people so much as squick them out. Why the Texas Chainsaw Massacre doesn't scare you is the same reason your players aren't scared: They don't care about their characters. You just want to see the characters (in both mediums!) die in interesting ways. (But not your players. Well, OK. There is that one guy.)
This is even worse with one shots, because players probably don't even know their own characters name. So, treat your game like a good horror novel; spend time establishing the PCs. Give them a variety of NPCs to play off, put them in interesting situations. You do not need to tip your hands in the first 15 minutes. Give them a slow burn; they know something bad will happen. Let them try and guess what it will be, and let them try and get to know Hans Hunkerson.
This also isn't a serial murder mystery show. You do not need a cold open with a dead body like Monk or the X-Files. Here's a fact: Once there is a dead body, players start working on finding out why there is a dead body and how to stop there being more. Take your time to introduce the problem; because players are playing a
game. Introduce a problem, players will want to solve it.
them get gamey. That gets in the way of role-playing. If the first 15 minutes are spent chatting in character about anything, for example, if an old friend talks about his wife and his graduate studies while they talk about why they are bums with all the free time investigators tend to have, the players forge a connection with their character. This is critical for horror.
If you are planning a campaign, don't introduce the twist till the end of the first session; maybe not even a dead body till the end of the second. Get the players talking in character, get them relating and emoting.
Then you can let the bodies hit the floor. Simply starting the scenario with "Your mutual employer's body lies before you," saves you time at the expense of emotion. Spend a session where the players get to see their employer. Explore their relationship with him or her. The first session is a deposit of good faith; your players to trust there will be a pay off. Your players give you their good faith, you help them grow a character, that way, the horror is more personal and real. Everyone wins.
They win, since it is more fun. You win, because they fear you. If that fails, just tell them that a newbie will be joining them next session. Then, ask who has time to draw up an Anatomy of Dice chart