Hang the room with dark or exotic cloths, odd posters, or unusual pictures, photos, and tapestries. Keep a few odd, unique, beautiful props around. Find interesting things in antique and second-hand stores. Beautiful and exotic glass bottles, antiqued mirrors, and little fetishes. These work either as scenery to help lend an exotic air to the room, or as representations of actual items within the game.
Music Play quiet, creepy music in the background.
Preferably avoid anything with lyrics, as this may distract players who have a tendency to sing along or wonder what the lyrics are. Movie scores often work well. If it doesn't work for you, don't use it. If you have a particularly good sense of timing or you know the CD very well and don't mind mucking with track order while you're GMing, you may be able to use the music creatively to enhance the buildup of a creepy feeling. If your timing sucks, you may instead end up with the love theme playing during the climactic battle.