What words or phrases tell you about the setting?

As Watson approaches the Devonshire setting of Baskerville Hall, Doyle's imagery--which is description using the five senses--helps set the scene and the mood. The description using the five senses is mixed with abstract words like "melancholy" that help us understand the emotional mood evoked by the landscape.
Some words or phrases that tell us about the countryside as the train draws nearer are as follows: "a gray, melancholy hill" and "a strange jagged summit." Watson sees the setting as follows:

dim and vague in the distance, like some fantastic landscape in a dream.

Words such as "gray," "melancholy," "strange," "jagged, and "dim" might give us an uneasy feeling about this particular setting. It sounds anything but bright, light, and cheerful.
We also learn of the "gloomy curve of the moor" and "the jagged and sinister hills," which reinforces the mood of foreboding. As the travelers approach Baskerville Hall, autumn is depicted as a grim and unpleasant, rather than a lovely season. One example is the image of the "rotting vegetation" on the ground. A "cold wind" sweeps down from the moor. The moor is described as a "desolate plain," and "barren waste," both inhospitable images. Other negative imagery includes "stunted oaks and firs."
When Watson first sees Baskerville Hall, it is describes as a creepy, unsettling, Gothic place. The lodge they pass is "a ruin of black granite," and the trees that tower overhead leading the main house create a "sombre tunnel." Baskerville "shudder[s]" as he views the house, which looks like a "ghost."
With all this description of an inhospitable locale, we can expect a scary, eery story to unfold.