Any "open" ending. I don't mean so much cliffhangers, although those are a pain in the ass. I mean ending a story but leaving established plot threads open. You were telling me the story, I don't want it left up to my imagination, I want it left up to yours. That is the main reason I don't enjoy most horror novels, and many horror movies.
The three "Beast House" books by Richard Laymon are great examples of this. Those are massively fucked up books, bestiality, lots of death, rape (a child too) etc. So it works rather well as a work of horror. Then of course there's the whole "surprise" attack at the end, with no resolution. The worst part is, it only happens at the end of the trilogy. The first two books actually end properly, all the important stuff all wrapped up. I just pretend the third one ended about three pages earlier, cause then everything's all nice and resolved.