I've seen a lot of horror movies, because I like the <em>idea </em>of them, but I think I've only ever seen one or two horror movies that actually scared me. But I'm always very impressed when a horror movie, or any movie, is really suspenseful or creepy. I think it's hard to achieve these things. Maybe it's because I'm not easily scared.
I agree with Dmitry, though, that most modern horror movies are just a lot of blood and violence, not true "horror," in the sense of being scary or spooky. For me, psychological thrillers are often better at creating a sense of "horror."