I feel that it would add a lot to the experience of dungeon diving. I don't want full-blown, scripted events designed to terrify us, but I do want little things. Not things to scare me, just make me feel uneasy. This can be accomplished many ways.
Like having darkness actually be dark, so you can't see what's near you. Also, enemy AI for different enemies would have to be.. different. Obviously, there should still be enemies that charge you head on. But there should be other enemy-types, as well as NPCs, that try and sneak up on you, or stalk you. (This would have many other benefits besides adding horror elements too.. Mainly, it would add a new twist to combat, among plenty of other things.) Occasionally you would hear a noise from them in the darkness, but you wouldn't be sure if they are really there or not. And there's still always a chance that an enemy will charge you and you won't see it until he's right in your face. Also, not having battle music unless you are in open battle would add suspense, just because you wouldn't know if an enemy is charging you from 50 feet away.
Overall, I think horror elements should a minor focus of the game, not enough to discourage you from playing, just enough to make you think about more than walking through enemies to find your loot. And I do think it would fit very well with an ES game.