I think part of it is that I just have watched so much horror that there's not much I haven't seen or that surprises me anymore, but yeah, things don't seem to be nearly as scary as they used to. I didn't even like Paranormal Activity; I found it incredibly boring. I keep watching and hoping, but for the most part horror movies have been extremely disappointing lately. A lot of what they do is either jumpscares or gore-porn, and that's so old at this point. Honestly, any horror I've liked lately is either old horror stories or foreign stuff.
I really think Amnesia and all of the indie games that have started coming in the wake of it can be really creepy, and they're a lot more interesting and potentially scary than other games and movies and things. The bigger titles they've been trying to pass off as horror lately just...aren't.
I don't think it's dead; I just think that, on the major-money-making side of things, it's being handled by the wrong people.