I mean, really scared you. It's easy to produce a startle response by making a loud noise on the soundtrack while having something jump at the camera. Similarly, it's simple to gross out the audience by cutting open an abdomen and revealing intestines or something. But neither of those are what I would call a real scare. A real scare is when you're so involved with the story that it matters to you what happens next, and you are in terror of what that thing might be--and of what it is turning out to be. It's the kind of scare that makes you have to tell yourself, "It's only a movie."
The earliest horror movie to scare me in this way was Night Monster (1942), a low-budget Universal chiller that I think was about a legless man who magically recovers use of his legs only to stalk around killing people. I'm not sure of the details because I was only about ten when I saw it, on one of those Saturday night "Creature Features" programs that used to air old horror movies. Night Monster scared me tremendously, but I've never been able to find a copy of it since then to verify if it would still have the same effect.
Other movies have really scared me since then--Night of the Living Dead (1968), The Exorcist (1974), The Texas Chain Saw Massacre (1974), Jaws (1975) The Omen (1976), Halloween (1978), The Fly (1986), and so on. But the older I get the harder it is for a horror movie to do the job of really scaring me. I'm not sure that it's just because the movies have gotten worse. I think I've gotten more jaded, less able to involve myself in the lives of what I know to be fictional characters.
Anyway, the last horror movie to come close was the 2009 The House of the Devil. I don't remember the movie well, but there was a scene where the babysitter was wandering alone in the house of the Satanic cultists, and I had to tell myself, "It's only a movie." What a blissful phrase: a sign that the horror movie is doing its job.
Deformed and Destructive Beings: The Purpose of Horror Films