And of course the story-within-a-story in Make Me A Perfect Murder, with the director himself playing the role. It uses a lot of cliches, like the character in a fleabag motel room with a neon sign outside, but the cliches are deliberate.
I'm going to add the opening scene from my favorite episode - By Dawn's Early Light. The slow walk down the hall towards the kitchen. You don't know who is in there, you don't know what they are doing, but someone is doing something and the lack of music gives the scene a little bit of a tense vibe.