Establish a mysterious tone from the beginning of the story. Incomplete backgrounds on characters and mysterious physical aspects such as scars are a great way to set this tone. The unknown creates suspense because your audience doesn't fully understand why certain events are occurring. Keep your audience guessing until the end of your story.
Explain important information to your audience that the characters do not know. When your audience knows of some impending doom that your characters are unaware of, tension will be created because your audience will try to anticipate the coming events. An example might be the silhouette of a figure creeping up behind a character. Your readers know the silhouette is there, and that is what creates the dramatic tension.
Build up future events for the audience. Tension builds when your audience knows that something is supposed to happen, but it hasn't yet occurred. Remind the audience of this event throughout and possibly even give a false sense that the event is about to occur on several different occasions. The anticipation and let-downs throughout will build tension as the story continues.
Establish tension in the characters themselves. In addition to building tension through your story writing, making your characters tense and nervous will have the same effect on your audience. If the audience gets the sense that the characters are desperate or stressed over the plot of your story, they will identify with the character's feelings and understand that is the tone that you intended in your writing.
Keep your readers guessing. By weaving a plot that has surprises or an unexpected turn of events, you create tension for the reader.