In order to have someone feel scared in your game, you have to design your game in a way, that makes it feel to them that they are NOT playing a game.
You have to create an environment that creates the feeling that it is real, that they are living it, and nothing reminds them its just a game. In sounds, the absence of music in the game can be just that difference, to create that feeling. In some games, the minute you have a piece of music that is played in the atmosphere of where your player's character is, you remind your player they are playing a game. Then its no longer scary. It does not matter what the theme music sounds like.
In terms of visual effects, you have to, "blind" your player. In First Person Shooters, you are blind to what you dont see around you, just like in real life. You have to turn your vision to see around you. This how submarine games play as well because your limited to the view if your periscope when your submerged. If you game is a 3rd Person Point of view, for instance in the SNES Super Metroid ( a platformer ) you blind your character by limiting what they can see in their vision. Again, in Super Metroid, in some of the boss fights, the boss jumps around out of your vision as it moves back and forth in the huge room you are fighting in. You don't know where the boss is going to appear, so - you have to move around to avoid the surprise attack of the boss. You have to have something happen that is outside of your players active awareness to create that sudden scary feeling when it suddenly happens. In the game, X-Com Apocalypse, the game creates that suspense or scary feeling, by shadowing the areas of environment that you have not explored by your team, in their isometric presentation. Again these are visual blinds to the player.
There is also the factor of how the game plays, is it real time, or turn based? This affects how your game is going to be scary to the player.
Secondly, most of all - you do not want to constantly scare your player all the time, because then they will get used to it and it will no longer scare them.
A player begins to learn from the accumulated experience from every game session, which contingency plan to think on when threats ( which are similar to the them ) happen in game. Then later, they learn to not feel that threat, and that threat in the game becomes annoying as a needn't anticipation.
Please consider this problem .....
What if the person who plays your game, decides to listens to some music at the same time while playing your game, thus ignoring the scary effect of your game? They're not going to be scared. They have that music in the background to distract them. Also, a person who plays your game, who has to pause it for interruptions in their environment will also loose that scary feeling. And as said before, they learn to not feel that threat, and that threat in the game becomes annoying as a needn't anticipation.
I do not know the exact nature of your game, so I can not prescribe, " This is what you should do.. " feedback.