Re: 'The Woman in Black' - totally the atmosphere. I read the novel and it struck me as ever such a pedestrian ghost story, but the play made me want to wee. I think what helps is not expecting it to be scary. You go in thinking "it's a play, there's no way that'll be as scary as a film", but it ends up being more-so.
Of course, I will admit that it won't necessarily scare everyone, but I always seem to be most frightened of quiet, creeping, unstoppable, single, malevolent, supernatural entities (usually female ones as well o_O), while also being excessively creeped out by what happens in my mind as opposed to what you see onstage, so it plays absolutely perfectly to what I personally find terrifying. I won't say "omg you're wrong!" to the people who weren't frightened of it, because fear just is so subjective, but if it's the kind of thing that'll frighten you, then you may well have some sleepless nights in store. :3