I don't think "scary" is the right descriptor for me when it comes to blood and gore movies. Disturbed is more like it. There's something about French horror films that really make me feel icky, Martyrs and Inside for instance, and Haute Tension before I watched it to death. The first Saw movie made me nervous. Funny Games made me feel slightly sick to my stomach. So I wouldn't say it's the gore alone in my case, but the idea of sadistic people actually existing. These movies are effective while I'm watching them, but don't leave me feeling scared. I'm not likely to be up all night, or afraid to walk through the house in the dark.
Supernatural movies scare the crap out of me. They have to be done well, of course, but I find them more effective. Asian horror is the best. They keep suspence throughout the film, and afterwards I can barely sleep. Old supernatural films are great aswell, like The Changeling.
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