Australia is a deadly fucking place without any supernatural stuff. Difficult terrain, dangerous animals (kangaroos will fuck you up beyond repair!), hot days and cold nights, plus completely bizarre weather patterns. Surprise your players, especially if they go out unprepared. If they go prepared, make sure to reward them for their preparedness by making them use each and every piece of equipment they brought "just in case". They'll feel like geniuses of countering of all our "elaberate traps" and as a result be in a better mood when your sanity ripping horrors attack them.
Shanghai in the 1930s was awesome! Tons of money, people for freakin' everywhere, and everybody (by which I mean China, the UK, Japan, and the USA) wanted it. Throw weird things at your players, stuff from all over the world. Check this out:
http://en.wikipedia.org/wiki/Shanghailander#Republic_of_ChinaBy the way, combat is only brutal if you can get the players to fight the monster. The last two games of gumshoe I've run the players where too afraid to fight the monster.