I'm pretty new to all this stuff, but how's this for an idea? Make a dungeon crawl for them, a nice, not too challenging one with good rewards. Make it a little bit of a cake-walk. However, at the end of the dungeon let them find another, a perception check to find a hidden entrance or a note detailing one. Then you can let the fun begin.

Try to make it creepy, the use of a little bit of clichéd undead, necromancers and such. Make it tough, but doable. Make them struggle to get to the end, and when they do, make the encounter unwinnable. After the struggle have them wake up, bound, and being ready to be sacrificed. Give them another difficult, but doable encounter. The belief their characters have actually been killed, followed by the glimmer of hope at the end should have them nice and involved, I think.

Also, you could try using a mixture of greed traps and lurkers, as if it was a horror movie. Kill them off one by one, traps like a room filled with gold, but if a single piece leaves the room, the last person left will be killed, or having them picked off for straggling/splitting the party. Make them paranoid about each feature of the dungeon, and them give them an ultimatum at the end, x amount of loot to resurrect the lost members.

These sort of things, while not inherently scary, should probably help them play a little more seriously. No one likes losing a character.