Some of the scariest things are what we imagine. What made the suspicious sound, is there someone or thing in that room, hiding in a closest and things of the like can make things tense. This is harder to invoke with horror, since people go in with this expectation, which is what makes White Day: A Labyrinth Named School‘s first 10 minutes so tense.
In the video below you can get a brief introduction to the world, along with an idea of how the mechanics work. Not much is given away, but it gives you an idea of what to expect from the atmosphere and location.