Things that would have made Amnesia scarier

[A Luna]

It would be cheap, but I would have died of fear if during the portion where you jumped from window ledge to window ledge, a grunt stood behind one of the windows you were jumping across.

I definately +1 that. Would scare the living crap out of me.
Another part, I really thought the dark storage was scary, but after that, I seriously didn't mind at all in the dungeons that there was a monster running about. I was comfy, had a buttload of tinderboxes and oil and lighted up everything. I just kinda got used to all of that.
Sometimes, it's way scarier if you don't let anything happen rather than make a scene where the monster walks past. The thing that scared me the most was when I walked around a corner and looked in the face of Mr. Monster. No warning, suddenly: monster.