Scary movies don't scare me that much. They do give me nightmares right after I watch them, but I can't even remember them in a week.
On the other hand, David Lynch movies tend to horrify me beyond belief. Especially Twin Peaks Fire Walk With Me. I still get the heebie-jeebies when I think about that movie. Thanks to that movie ceiling fans, transparent plastic stuff (such as shower curtains), houses on slopes, and caged birdies scare the hell out of me because they all remind me of the movie. Likewise, Mulholland Drive, Blue Velvet, and Eraserhead were some of the most disturbing movies I have ever seen.
Lynch's stuff is obscured artistic reality, and the way he chooses to portray certain traumatic parts of everyday life pokes me on a deep deep level. I've vowed to never watch his stuff again.
Sorry, if this isn't what you were asking, but I thought I would share what scares me
