For me, it has to be mystery. I can cope with any deal of graphic and disturbing violence in movies, and I don't find monstrous creatures in the least bit frightening - other than those cave crawlers in "The Descent", or people in a state of possession ("The Exorcist" goes without saying...even if I just said it) or the similar process of being infected with something (see the movie "[rec]" for a much clearer explanation of why it's so damn creepy). Japanese ghosts and strange disturbing sounds and images from movies like "The Grudge" or "The Ring" (ugh...don't get me started on that goddamn movie!) probably scare me the most though. But what puts me in a state of unease more than anything else mysterious things that are never explained.
The only stuff I find scary is pretty much David Lynch. It has to do with atmosphere and a general underlying and undefinable creepiness that builds up to absolutely incomprehensible and terrifying climaxes of weird. On-screen monsters and ghosts pretty much never scare me (the monsters in The Descent I actually find charming).
I agree with Lynch comments. I mean, this "thing" freaks me out everytime I see it!
And unnatural body movements like the spiderwalk scene in Exorcist scare me a lot. Also if I watch a ghost movie (doesn't matter whether the movie is awful), I can't sleep for a couple of days.
I'm not overly experienced with horror movies, but I don't know if I've ever been truly scared by a film. I guess I'm prone to cheap jump-out scares, but who isn't? A slow build up of atmosphere is always better than full throttle horror in my book.
