Many characteristics of Gothic Literature are designed to instill fear in both the reader and the characters.
First, many times a victim is held against his or her will. Typically, the victim is isolated in order to show the inner workings of their mind during this time. Their fear is compounded by the unknown (who is with them, what is to come of them, and their isolation). That being said, many times, this isolation is takes place in areas of darkness. Given that darkness is another fear for many people, the combination of isolation and darkness can be far too overwhelming and plays into the fears of both the reader and the character.
Many times the setting is in a castle, abandoned house, or other alienated dwelling. Given the setting typically is isolated itself, the character's isolation compounds their fears. They can feel twice removed from society given not only are they apart from society, they are imprisoned as well.