Agree about the setting, does anyone remember the scene in "An American Werewolf in London" where the commuter is at the deserted station? It really plays on the fear of dark tunnels phobia that many of us have!! I suspect Creep tried to emphasise on this but it just turned out to be a sub-standard slasher flick with a few very nasty scenes.
Having said that, the female lead (Franke Potente I think here name is) is a very good actress and she is actually German in real life. She was also in the movies Blow and Run Lola Run. Considering she is German she mastered the world-weary London girl thing fairly well methinks.