Horror games don't tend to scare me. Some are unnerving, but aside from a little jump once in a while they really don't bother me.
The reason I mentioned them is mostly to contrast with horror movies. B-horror movies don't scare anyone and should IMO be relabeled as comedies with blood, but the really well-crafted ones are a truly unpleasant experience for me. Case in point would be Cujo which I watched recently. By the end, I was exhausted & covered in sweat.
I think the big difference is that in horror games, I'm empowered. I have agency. Even when Bad Stuff (TM) happens, I have the confidence that I'm in control and can respond accordingly. Even if I die and am dismembered horribly, I know that I probably could have avoided it if only I'd done XYZ. And I can reload my save and do just that. Good horror movies are different in that like a bad nightmare, you can't move, you can't control anything, you can only watch.