Telegraphing danger is an interesting question. In order to feel danger, players must not be able to reliably assess potential outcomes. Danger is many ways comprised of uncertainty and opportunity. Players must both hope and fear at the same time. In this vein, this link presents some useful suggestions, under "making adventures adventurous".
However, the question isn't about increasing the feeling of danger, but telegraphing the presence of danger. One of the best ways of doing that that's happened to me is being presented with a scenario where, I as PC am beaten without being killed by some very notable group. (My fuzzy memories have it as beaten by a wizard, but it could have also been a rival adventuring party.) Then, an encounter or so later, we found bits of the rivals all over the place. Anything that could do that to the people who beat us must be really dangerous.
If more time is available, the habit of having psychoenvironmental effects (rolling thunder, lightning, wind) correspond with threat is a great trope to train your players into. The harder something is, the more adverse environmental effects described (to a point.) If done properly, and to a pre-determined relative threat scale, the players will expect a great deal of danger when the DM describes a full-out thunder and hailstorm.
Another, similar, way of training instinctive responses is to have soundtracks that correspond with the delta in encounter level. Soon enough, certain songs will be deemed a "very bad omen" when sufficient games have past.
Intelligence (in the military sense, not in the smarts sense) about the enemy defeats tension. If the PCs can nail stats down, tension, and therefore the feeling of danger, is averted.
Shamus Young has a great discussion of tension in survival horror games, where he notes that actually dying breaks immersion. As soon as players actually get into that fight with the big bad that you've been hyping, most times the expected (and quantifiable) damage that they're reviving will change the tension into worry. Worry about death isn't the same as fear of death, because it's suddenly manageable with tactics.
Kobold quarterly discusses the creation of this sort of tone through isolation and fear here.