I am a minor insectofobe; I hate bees and wasps to the degree that I involuntarily flee if they're around me. I also hate moths, butterflies, large flies and dragonflies. Pretty much any flying insect. Beetles also disturb me.
However, watching footage of bees or insects doesn't scare me. I suppose they scare me on a physical level, where my body instantly responds with a "flight" reaction. As for what scares me on a psychological level, mannequins and statues disturb me, especially when they move. Realistic gore also nauseates me. As such, I can't stand to watch anything involving surgery or realistic dismemberment. I was once deeply disturbed by a Jon Stewart segment on the new Mortal Kombat game where they show a pretty gruesome fatality. Haunted me for days and made me physically ill.
On the whole, horror movies don't frighten me beyond cheap jump scares. I used to be very affected by horror, but I've gotten over it thanks to my better half loving them. Nowadays, it's mostly Mortal Kombat-esque body trauma that gets to me. And I can stay away from that 99% of the time.