It's hard to pinpoint just one location so got two, sorry but I cannot choose between these two.
Deep dark woods/ forest: it's the dense surroundings, the shadows lingering, the deep unsettling darkness. It all amps up the tension esp for an horror setting. And...
A singluar room in an house, mansion or some other setting. Fermat's Room, SAW etc that isolation of being in one room. No escape, just stuck in one place with no feasible way of escaping. That chills, even me, to the bone.