The setting of the scene can have a huge affect on the audience. A typical horror movie will use big/large building to make the character look small, and insignificant. It wont just be any old building though. Producer will choose a building with the characteristics they are looking for (E.g. A big Victorian building with small windows; A small building/house with narrow corridors.)
The typical settings for horror films are places that have a bad atmosphere and feel about them, such as abandoned places, isolated places, basements, dark alley ways etc.
Example and Analysis of a building :
Building seen in the Movie:

The building is made even more frightening due to its dull surroundings. Even in the light, this building will appear scary to the audience. The building also has an unwelcoming atmosphere to it, as if it doesn't want you there. The building comes across as intimidating to the characters, due to its shire size, making it even more frightening to the audience. The building is huge, meaning there are many places for a potential antagonist to hide. This idea is hinting to the audience that there may be jump scares within the movie, also creating the feeling of fearful anticipation within the audience. This is another reason why the producers decided to use this building.
Building without all the editing from the Movie:

Example and analysis of a building interior:
This is an image taken from The Woman in Black. This is one of the first images we see of the interior to 'the woman in black's house'. As we can see, the interior is huge, making the character in the doorway look small.
By using dark, dull and gloomy colours, they have made the hallway appear both old, and abandoned. This affect would add to the sense of fear, and antisapation of a/the antagonists appearance. As the producers have decided to use a high angle, tilted shot, the audience can see dust on all of the surfaces, further implying that the house/building has been abandoned for a long time. An abandoned building is typical of a supernatural horror film. This is why the producers have decided to present in building and its interior in this way.