Build-up is huge, like what everyone has said, and I also really want to hammer some more on the point that what you don't see is scarier than what you do see. The fear of the dark comment summed it up perfectly. People aren't going to be scared from a detailed description of the fear-causer, whether it's gore or a monster/demon or a killer or whatever. (In fact, with supernatural things, describing it will just seem even cornier.)
In the case of supernatural horror, what works best from my perspective as a reader is when the author plants a lot of cues that are subtle/removed enough to not blatantly describe the fear-causer, but specific enough that it's clear it's something supernatural. Things like unexplained/out of place odors, sounds, etc., or occurences that should not naturally happen (especially things going wrong with nature. or food going rotten within seconds immediately after it is brought into this house. etc.)
Think about some movies that rely on those "never-seen antagonist" tactics, like Blair Witch, the Conjuring, etc. Even if they might not be your own cup of tea, they did very well, and it's because a lot of people are scared by that approach. If they had actually shown the BW or the Conjuring demon via CGI, it would have been corny as hell. I think it also worked really well for "The Ring" - you do see Samara eventually, but it's only at the end, and a lot of the fear in her appearance is the fact that her hair is hanging over her face in a way that conceals everything. The fear is built up the whole movie by unnatural reactions to viewing the tape (dead girl in the closet), unnatural nature/animals (the horse boat scene, fly coming out of computer screens, coughing up the rope), and a sense of increasing horror (the 7 day time limit with things getting creepier and creepier throughout the movie)
In the case of supernatural horror, what works best from my perspective as a reader is when the author plants a lot of cues that are subtle/removed enough to not blatantly describe the fear-causer, but specific enough that it's clear it's something supernatural. Things like unexplained/out of place odors, sounds, etc., or occurences that should not naturally happen (especially things going wrong with nature. or food going rotten within seconds immediately after it is brought into this house. etc.)
Think about some movies that rely on those "never-seen antagonist" tactics, like Blair Witch, the Conjuring, etc. Even if they might not be your own cup of tea, they did very well, and it's because a lot of people are scared by that approach. If they had actually shown the BW or the Conjuring demon via CGI, it would have been corny as hell. I think it also worked really well for "The Ring" - you do see Samara eventually, but it's only at the end, and a lot of the fear in her appearance is the fact that her hair is hanging over her face in a way that conceals everything. The fear is built up the whole movie by unnatural reactions to viewing the tape (dead girl in the closet), unnatural nature/animals (the horse boat scene, fly coming out of computer screens, coughing up the rope), and a sense of increasing horror (the 7 day time limit with things getting creepier and creepier throughout the movie)