There is one emotion that GMs down through the ages have struggled to elicit: fear.
You've been there. The GM describes the terrible monster or ominous NPC, and the players know the GM _wants_ them to be afraid, but they just aren't gonna do it. They should be afraid, the thing is logically terrible, but they won't buy in.
Other times the players have apparently the same encounter and immediately yelp “oh sheet!” and have their characters start running for cover. They embrace the fear with glee and gusto.
A lot of GMs think that if they convince the players statistically that the threat can kill them, they will play their characters as being afraid. “He's a 40th lvl dark elf lich necromancer! He can kill you with a word! Tremble in awe!” It's a no go. Certain knowledge that a threat can kill you may elicit a rebellious fearlessness instead — after all only the character dies, not the player.
Here's a different take on the cause and effect of fear:
The players will embrace the idea of being afraid and impressed by a threat when they brought it upon themselves. The players will reject and scoff a threat when it was put upon them arbitrarily, which is to say, by the GM.
If the cunning thief decides to scout the caverns solo, and then bumps smack into a fire breathing dragon, the player knows the foot that was stuck in it was their foot, and the sticking was done by them. They will go “eep” and scurry.
If the same character is just walking down the road, and the GM says “out of nowhere a terrible dragon swoops out of the sky – it's terrifying!” the player is likely to stare at the GM blankly before uttering an “allll-right.”
Partly this is because if the players brought it on themselves, the threat fits a certain cosmic justice. You went into the sunken city, so naturally you woke up the nameless dread. Playing afraid is really just the outgrowth of a choice the players already made, which was to play brave and/or foolhardy, so they enjoy it.
If the threat comes at them because of nothing they did, the players rightly feels like the situation is a little unfair and are not as willing to buy into it. The players feels like the GM is trying to bend their attitude and naturally resist.
So want to scare or impress your players? Make sure they brought the danger on themselves.