Given the choice between the known and unknown, the unknown is often scarier. It’s the more exciting of the two when it comes to a chance to explore or engage in an opportunity, but when it comes to an obstacle between us and our goals, it’s best when it’s a known quantity.
The known can be planned for, while the unknown can only be guessed at. We can use that in our writing, but at some point the audience wants to know what dangers are ahead. It needn’t be explicit. A half-chewed corpse in the alcove of a cave might suggest there’s a bear (or worse) inside, waiting to pop out. A distant gunshot could be bringing a guard to stop our master thief, and perhaps have ended the life of her lookout. The various senses help here, creating a feel for the danger before it’s stated.
It’s not necessary for the characters to know either, even if they make guess about what the danger is. It’s possible they come up with the right answer, especially if you have a character with a reasonable reason for knowing such things.
I would suggest that you need to know the danger yourself, in case you find yourself with an unspecified danger that can’t realistically exist within the world of your story. If you haven’t touched on fantasy and supernatural themes, it would be considered cheating to throw a warlock in as the man behind the scenes of your plot about politics and corruption. Once you have your real danger known to you, it’s easier to draw that out, to subtly hint in one chapter, or to place clues in another.
The unknowns are great at creating intrigue, and how you capitalise on that intrigue results can vary. What this post is concerned with, is tension. Eventually your scary dudes and terrible foes will be revealed. It’s easy to have your monsters jump out of the shadows and start tearing people up. If however, you were to have your monster slowly step out of the shadows, you’re saying that the calm, rational monster will casually stroll over to protagonist and rip them apart. There’s an altercation coming, and every step they make from that point on has them locked into an inevitable confrontation. You can have a cloaked figure pounce from nowhere and turn the tables on your main character, or you can have them casually announce themselves, inching closer and closer, knowing that at some point these two will face off.
That moment in between reveal and action creates suspense, or tension. It’s a ticking bomb without the countdown, where just knowing the two paths will intersect does the job. Drawing out the reveal is one type of suspense, but so too is using those moments of calm between the reveal and the act, however long they might be.