When I was a kid, some films would scare me. Like that fellow laughing whilst sitting on the front of the train at the end of 'live and let die' - just seen it again tonight. I think it gave me nightmares as a small child.
But in my adult years, I confess no fictional film has scared me, particularly not horror - which seems more funny than scary to me now.
What I do find more scary though are horrific films based on fact, and show the darker side of human nature, e.g. Schindler's List. Not really scary I guess, but profoundly disturbing, and I was upset all evening after watching that one.