I have talked about dilemmas before, and this is related. Dilemmas are about forcing a choice between two equally unpleasant options. Consequences are about making sure that the players are fully aware of the consequences of their actions.
We often talk about murder hobos, or dungeon crawls where the routine is kill the monster and take their stuff. There are few if any consequences to being a murder hobo in a typical fantasy game. If anything the more you kill, the more and better gear you get, so the more monsters you can kill. Wanton death is rewarded.
That is not the horror way.
With horror deaths are generally to be avoided, most people who die are innocents, typically there is only one monster (human or otherwise). Every death is likely to be a failure by the characters to rid the world of the evil or unravel the mystery.
These tips are taken from my Scarier Horror Play book. You can get 40% off this book at DriveThruRPG using this discount link. You can get 40% off all new releases as a loyalty discount if you join my contact list.