Most of the important action takes place deep underground and the scene is lighted only by lanterns the two men are carrying. This darkness with flickering shadows is one aspect of the setting that contributes to the overall mood in "The Cask of Amontillado."
The catacombs have been used for centuries to bury Montresor's ancestors. There are piles of human bones on the ground and skeletons hanging from the walls. This is a second aspect.
The narrator comments that the air is very bad down there and a foul smell permeates the vaults. This is a third aspect.
The narrator repeatedly points out to his victim that the walls are covered with white nitre, which must make spooky designs running down the sides of the vaults. This is a fourth aspect.
The narrator also comments that it is bitter cold down there. No place could be more gloomy. It is fit only for dead people. Besides that, there is a constant dripping of water from the river up above them. These constitute a fifth aspect.
The niche has two short chains attached to the wall. This shows that people have been chained there in past years and left to die. The sight of these chains would constitute an additional aspect, as would the big pile of human bones under which Montresor has stored the stones and mortar he will use to wall Fortunato up.