Have a VERY quite heartbeat playing through the silence, so quiet you wouldn't notice it.
An audio book reading of 'the Telltale Heart' had this as its background noise. It started out silent, but grew gradually in volume in a way that made the listener doubt they were actually hearing anything at first.
Another example of the same concept, albeit used differently and for a different outcome, would be the use of white noise before a certain play in the theatre. White noise was playing through the speakers in the hall and lounges before the play started, gradually becoming louder and louder, but so gradually that the audience never noticed. Then, at the start of the play, the white noise was turned off, and a sense of complete and utter silence was left.
If you have ever tried to suddenly be left in clear silence after something has hummed for a while, especially before you fall asleep, you will know how uncomfortable that is, and it will most likely call the player to attention.
Now, I know there are different takes on psychological horror and horror in general, enough for one thing to work well with one author which will fail with another, not to mention some people being more resistant against the horror genre as a whole, or lacking the primal fears and imagination that will cause others to jump out their chair at the sound of the floor creaking, even if nothing is going on on the screen, and haven't yet.
Amnesia is a good example of this. Some players find it to be awesome and creepy and not something you should play alone, others are just shrugging it off as it was nothing (perhaps because their own mind has been numbed for its effect).
I think, while haven't played Amnesia myself, that the real thing that gets to you is the fact that you barely know what is going on, and the fact you can't look at your enemies without going insane, while there are relatively few enemies actually around.
Humans have always had trouble with stuff they don't understand, and being left without a reason for what is going on, will most likely bother the players to the core while having their curiosity move them forward to see what is going on.
Just like the unknown is far more scary than anything we could meet. not knowing what you fight against, what might be around the corner and so on triggers our imagination, and that is a powerful tool.
If you read the 'High Octane Nightmare Fuel' pages on Tvtropes, you will most likely see the same pattern. Yes, gore and horror makes the player uncomfortable and ill, but the thought of why someone might have done it, if the killer is waiting just outside your field of vision and why no one has managed to stop the killer, is far worse than all that.
Two other games seem to use this well. Sadly I can't recall the names of the games since I just like frightening myself by reading about what scared others... But I believe one might have been 'Edge of Darkness' or something to that account.
Anyway.
The first use the fact that you will be finding weapons and ammunition very early in the game, and continue to do so, even if you won't actually be needing these weapons until much later in the game. Players are used to quick action, that if there is weapons, you will be needing them in a moment, but with this, they will be on their toes for most of the game and possibly even feeling relieved when they are finally allowed to shoot something.
The other is based on Little Red Riding Hood, which means that you from the start knows that in this forest, there will be a wolf. Even if you see no signs of anything that might otherwise trigger your fear, the simple notion that there is something in there you need to be afraid of, is enough.
Especially if the monster is never actually shown.
But enough about this...
