This is one of those that I like to call "Spam in a Can", after a friend's monicker for horror/suspense movies where the characters are all trapped in a location being picked off by the monster/killer/alien one by one. Ridley Scott's Alien is the classic, of course, but this genre would also include stuff like The Thing, and any number of slasher movies.
The essential idea here is that the player characters are somewhere they can't leave, preferably someplace where you can apply pressure to the characters. The ideal situation is a setting which is just a little too large for them to be able to keep the whole location secure. They have limited resources -- including things like access to food, weapons, communication, security cameras... all the stuff that make players confident they can weather the storm.
The Antagonist -- and this could be a lot of things, from a single big threat to a horde of minor ones (like, say, zombies) -- is free to strike at them from any angle. It has more freedom of movement than the player characters, and makes aggressive moves to threaten and divide them. Throughout the scenario, the Antagonist is mostly unseen, lurking in the shadows, leaving signs that show his presence (sometimes uncomfortably close to where the PCs have been).
The power of the Antagonist is psychological: the idea here is to make the players worry about what he's doing, and what he might do next. Their minds will make a scarier scenario than you could come up with anyway. Steal a trick from good horror / suspense movies and let their imaginations psyche them out.
The GM has to be clever and cruel here, figuring out ways to strike at the players and make the situation more and more threatening, while reacting to whatever measures they take to secure the setting. Cutting off the power (plunging them into darkness) works well, as does creating diversions / feints in different parts of the location that force the player characters to divide their attention. These don't have to be ambitious -- a small fire, or an explosion, or even a mysterious sound is enough to get their attention.
Something I've found works very well is to create an environment that's uncomfortable for the player characters in some way. A flooded room with dark, cold, nasty-looking water is very threatening. Anything could be down there. A hand could grab at a submerged ankle. Making the overall environment colder than the player characters would like -- say a complex in the Arctic with no heat, and the outside temperature plunging as night comes on -- also works very well. Sensual details have very strong effects on players, because they can imagine them clearly. Smells are especially effective.
Ideally, if you can get one player character alone, that's a perfect time for the Antagonist to attack. Suddenly, he's there, and there's no one nearby to help. If you want to be really cruel, you set up the attack and then cut away from the scene to someone else, building the anticipation of what's going to happen. Players literally squirm in their seats when they don't know what's happening to their characters and the stakes are high.
Sure, it's a cheap trick. But the lesson of horror gaming is that cheap tricks work.