I don't get outright scared often at horror movies, either. Like I said, I've been spoiled by the movies I keep mentioning. And you probably won't find them scary because what you take into the theater really affects your experience. It's true for any film, but it seems to be more polarized with horror. If I go in with the wrong expectation, I can have a terrible experience. You have to be willing to let your guard down and go along with the ride to truly appreciate horror. Most of the time, I expect to have fun and get startled a bit. And I still get tense even when I know what's going to happen. I'm thinking of a roller coaster ride, actually. Do you like roller coasters, John? I'm usually pretty good at guessing what's going to be a more quality horror experience vs. a more campy one. But once in a while I get thrown off like I did last night. And it's a real bummer. So this exercise of "what's the scariest movie" is ultimately doomed to fail, because it sets you up to not be scared because you're expecting it.
You like lists, right? I'll make a list of elements that go into what makes a horror movie scary for me. It won't be exhaustive, because it's off the top of my head.
1) The characters don't make stupid decisions, one after another. In Insidious, the wife says, "we need to leave this house" and the husband says, "okay" and they leave. What? When does that happen in horror movies? It really surprised me. So I'm thrown off a bit and don't quite know what to expect, leaving me open for a good scare. Horror that relies on people making stupid decisions makes it too easy for the viewer to disconnect. It can still be fun to watch, but not necessarily scary.
This reminds me of a video I posted to YouTube a few years back about the movie Rest Stop, a classic example a film with a character that makes asinine decisions repeatedly:
2) You don't see the bad guy until the end, if at all. The reason we're afraid of the dark is because we can't see what's there. The unknown is terrifying, whether it's a monster or a job interview. If you can see something, you can kill it. Even with the best special effects and the most talented character designers, no monster will ever be scarier than the implication that there might be a monster and you don't where it is. The Others was a great film, not only because of the twist ending (which I didn't anticipate at all), but because you couldn't see anything. This is why the Paranormal Activity films work, and why I suspect they won't for much longer. I think that every horror film director wants to be responsible for the next Jason or Pinhead or Alien and finds it nearly impossible to resist the temptation to try to make their monster scarier than all the rest. But unless your monster is a human being (which are ultimately more terrifying than all the others put together), once I see it, I'm not scared of it anymore. It will still make me jump, but you know I'm thinking, "If I were there, I'd do this and this and this and KILL IT." I know the parameters, I've got some control back. Picnic at Hanging Rock is one of my favorite horror movies of all time, and it's because you never know what really happened there. It's also why I like The Happening, despite its flaws. I've got a soft spot for nature-is-evil horror movies. I also thought White Noise was scary, even though it didn't get great reviews. There's a scene at the end where Michael Keaton is getting thrown around by some ghost creature, and it's freaky because you can't ever quite see it.
3) A good twist of some sort, or several. I can't think of a lot of examples of this where it's done well, probably because horror tends to be predictable by nature. The Orphanage comes to mind, as does The Devil's Rejects. But it's nice to be surprised every now and then. I've probably seen more examples, but I've been interrupted a lot in writing this post, and my mind is scattered. An original premise can make at least the first half of a horror movie scary (until it comes to time to resolve everything, of course). Reincarnation and Pulse didn't work entirely as scary movies, mostly because of plot resolution issues, but they had unique ideas. The Ring was also scary for this reason, and not as good as it could have been because it didn't know how to resolve itself. It's honestly one of the biggest challenges of the genre--knowing how to finish well.
4) It knows the difference between "gory" and "scary." Slasher films are scary when the teenagers having sex in the woods are being stalked and they don't know it. Once the machete pins the two of them together, or the chainsaw grinds them to pieces, or the axe hacks off their limbs, the viewer actually experiences a sense of relief. Okay, they're dead, but the tension is over. Now, if the director decides to show in great detail the separating sinews as the monster pulls an arm out of its socket and blood is spurting and pouring out everywhere, and the dude is throwing up bile because he's in so much pain--well, that's not scary, that's just gross. A good horror director knows that scary does not equal gross. Both scary and gross can be horrifying, but a movie with a lot of violence does not make it scarier. Implied violence is often scarier than graphic violence. Not that I don't enjoy a good bloodbath every now and then; again, it's just not scary. Insert here our discussion of torture porn.
Okay, I'm going to put this thing to bed now. I also forgot to mention that I saw Winter's Bone last week, and it was excellent. Scarier than Don't be Afraid of the Dark, incidentally.