Gore isn't scary. It is unsettling. Horror movies tend to include a lot of gore for some folks gore is what defines the genre (and perhaps why it has gotten rather toothless in some cases), so I'll address the inquiry thus...
I came to a realization some time ago when I went with a friend to see the first Texas Chainsaw Massacre remake. We didn't make it through the first half hour of the movie before we just got up and walked out.
We went there to be scared, not grossed out.
Some time afterward, I picked up 'Salem's Lot by Stephen King, wanting a good creepy vampire read. What I got was more sickening imagery.
In each case I was horrified, but I wasn't scared. These experiences led me to a realization.
Horror isn't scary. It's just unsettling. A better term to describe the kind of scares most people expect from horror would be "suspense" or perhaps "thrills". When going to a horror movie, people expect something that will put them on the edge of their seat and make them scream or jump when something weird happens; Paranormal Activity (cue laughter), The Grudge, The Thing, hell even Critters are good examples of this. They all build tension, bit by bit, and then release it in a bowel-shuddering howl of activity.
Don't get me wrong. Horror movies often include elements of suspense, often some of the best horror movies are full of suspense leading up to knots of writhing gore that serve as the climactic scare, i.e. The Thing. I just think that horror is a misused term as far as entertainment media goes.