Gore and death work in extreme moderation, just like in a movie.
If someone's going to get gored to pieces, don't do it soon, but lead up to it later, and make other deaths quick, and unseen. Real fear comes not from gore, but from questioning everything.
Make them wonder...why is there a puddle in the middle of the room...is it safe? And after hours of questioning it, they finally test it by sending someone to step in it, and nothing happens. Then, have someone walk through a shadow at some point and not come out the other end...and they will never want to step in another shadow again. Make them question everything. Key to this is not caring about game speed. Let your players be completely in charge where they go, and what they do. Don't say "make a listen check" if there's something to hear, but make your players realize they are in charge of all their actions, and that this is not on rails, and then it's not the DM who will get them killed, its something they do, or don't do. Then, they'll be afraid of everything.