I find that the game is scarier without monsters. Which do you find more viscerally frightening: your friend sitting across the table calmly describing a monster as being 200 meters high, or being reminded of the last time you were nearly bitten by an angry barking dog? By keeping encounters restricted to four primary areas, I avoid much of the "typical dungeon crawl" effect that would serve only to reduce the fear factor. These four types of encounters are: normal beasts (as in the above example), sentients (the crazy guy in the dark alley--cross the Troll with your worst neighbour, and make him your new boss... I should note that Trolls are a normal pc race in Midian), things-that-go-bump (pure description--the players are never sure what's going on), and non-encounters (such as a scene consisting entirely of the description of an abandoned church silhouetting a stormy sky).
An important aspect of running a successful dark fantasy campaign is to set your players' standards low. Focus on the small details, even things that might be considered trivial & time-wasting in other genres. If they never have money--or never have it for long, never encounter an altruistic noble (or at least one who isn't an otherwise reprehensible jerk), never seem to fully achieve anything lasting or worthwhile--but never really fall so far into darkness & dispair that they completely lose hope, and never ever find true happiness, then you can string the players' along on an emotional coaster ride, where nothing is as it seems, and morality comes not in black-&-white, but rather in a dozen dull hues. This is why I recommend a low-fantasy setting/ruleset for a dark fantasy campaign. If the players cannot resort to powerful magic spells or items, and the GM cannot resort to simply throwing a bigger & nastier monster at them, then all are forced to find new methods in their shared storytelling.
The player-characters should never encounter a real hero. The bickering, ill-conceived, motley, violent, misanthropic lot known as the players' troupe, is the closest thing to heroes that a dark fantasy world should have. Sad, isn't it? It is permissible to have other "heroes" as competators, and for every vainglorious success they enjoy, the pc's (or at least the players--cut scenes work well here) should learn one dark secret or atrocity of the supposed "hero." The corrolary to this is that few villains will be completely evil, either. Finding out that the vile warlord that slew the entire town loves little kittens--and they love him, too--makes it much harder for the pc's to shove their jagged-edged blades through his black heart... as his eyes look up in shock & terror, baby kitten still mewling in his hands... You can, of course, have truly unrepentant and awful evil beings--demons or guys named Scott who enjoy pouring piping hot coffee on flowers, but these should be used sparingly, to further emphasize the grey-area ethics of murdering a "bad guy" while he's petting a lil' kitty.
Don't forget the graphic descriptions. Dark fantasy comes from a litterary tradition that made trite, flowery, overwrought descriptions into a twisted artform. Include every possible sense as well: not just the flash of lightning, but the low rumble of distant thunder, the scent of rain blowing on the cold breeze, the coppery taste of the victim's blood, and the uncomfortable stone in your shoe.