Anything that scares me about Horror can be summed up into my two most Favorite Horror Movies of all times, The Fly (Remake) and Alien 1
Darkness and what lurks in it:
It's something primal: In the Darkness, you can't see what is around you, and where the monster is that want's to kill you. In most Horror Movies, they don't nail that effect, but when they do, they are all the more effective.
Body Horror:
Prominent Theme in the Fly, and cranked to maximum shock value in Alien: Something bad happened to you, and it will totally fuck you up from within your body.
Yet very different in the Movies themselves: In Alien, relatively straightforward. Guy gets raped by an Alien and is killed by having a parasite bursting out of its body.
In the Fly, there is more foreboding: When Jeff Goldblum gets accidentially transformed, he slowly learns that something is not right with him, until the realisation what happened, when he suddenly knows EXACTLY what WILL happen to him, and that isn't pretty.
And thats even scarier from the perspective of Goldblums Girlfriend/Fiancee, who is even more aware of the changes, and never knows what waits for her the next time she comes home.
Hopelessness:
Once again, very different in both movies. In the Fly, it has something to do with the foreboding. Goldblum will eventually turn into a monster and the protagonists know that there is nothing they can do about it, and just have to see what happens in the end.
In Alien, it's not the characters but the setting that conveys hopelessness: A monster is stuck in there claustrophobic living space. They can't run away, they can't call for help, and they know that they cannot evade death forever and will eventually have to face it.
These are the three scariest things in me in Horror, however, there is another thing not featured in the above films, but in other favorites of mine like [REC] and Ju-On.
Familiarity:
Or, better said, that something horrific lurks in a place that is very very real and wich we see in our daily lives.
When it comes to Space Monsters or weird science, there is still a sort of abstraction involved. Because we are not on a space ship, the movie is completely fictional and so is the threat in them.
It is of course the same with [REC] and Ju-On, but since it is put in a setting that is, even if it may be a bit different or exotic, very real in the way that the horrific events in this movie happen in the basements, floors and living rooms of normal people. And that inevitably gets in your head, and while you rationalize that there are no ghosts under your bed and no zombies in your attic, you may very well doubt that logic for seconds or minutes, and suddenly you don't feel safe anymore where you should be.
And that is the greatest scary magic a horror movie can pull of: Stick in your head after it is over, even if you don't want it to be.