I've got two stories -- one as a player and one as a GM.
As a player, I was in a one-shot Call of Cthulhu game where the GM, when in character as the creepy old coot who'd hired the investigators, had his girlfriend play the houseboy -- she was sleight, and had just shaved her head. She served tea at the beginning of the session, and just kind of crouched next to him whenever she wasn't doing anything else. It was extremely creepy.
As a GM, I was running a horror session of a sci-fi game, where the players were in a science research facility that had gone dark. When they arrived, the lights were on but nobody was home, etc. The facility was in two pieces that were connectd by an elevator, and I couldn't hav ethem using it too much because if they compared notes too often they'd figure out what was going on. My solution was, every time someone took the elevator, I'd hum "The Girl from Ipanema" until someone started gritting their teeth, then say "Ding! You're there." They stayed split up, and I still get compliments on that session years later, so I think it went over well.