Horror movies do not frighten me. Bore me, annoy me, piss me off (where they involve torture, a frequent reaction), make me cringe, yes, but they don't generally frighten me.
Because they have this insistent belief on showing the monster.
I see a monster, I see something that - oh, yeah, hit it really hard with something really big (or just shoot it enough times), it's dead, and burn it just to be sure. I can't suspend my disbelief into believing an entity which has been molecularly deconstructed has any capacity to put itself back together again. (Gray goo isn't particularly scary a concept either; we already live with gray goo in very potent form, and we've already evolved mechanisms to fight it off. Making it mechanical rather than biological actually makes it -less- scary, actually; there's no EMP magic bullet for killing AIDs)
People don't scare me. I already know what they're capable of, that's why I have a gun. And "spirits" are just plain silly; I mean, if they died and got these new powers, what am I capable of becoming in death? The wraiths of Greek mythology at least had a proper horror level to them - they were subhuman, to be pitied. Zombies? Come on, if all it takes to end the zombie apocalypse is to make sure every dead person is extra-dead, we get a nasty surprise, then start cremating dead people and move on with it. (Worst case scenario, you hide until the zombies rot to nothing. Entropy is a bitch, motherfuckers.)
No, the only monsters in movies capable of scaring me are the ones I simply cannot evaluate; the unknown. It's very hard to pull this off successfully, too; the primary rule of course is that you cannot clearly show the monsters, and it can be challenging to create fear without creating an object for that fear to rest upon, and it's hard to create an object without explicating what the object is.
This is probably a product of growing up reading scary stories; up until I was nine or ten they were the only things I would read. Not usually children's stuff, either, although I never liked Stephen King; his books have a very dry scriptlike feel to them, and are more adventure stories than horror stories anyways, always characterized by the very thing which leaves horror largely inaccessible to me; the ability to fight back.
Movies are worse still, being visually oriented; if I can see it, I can defend myself against it. My adolescent dreams were characterized, among other things, by chasing invaders away from my house with a machete or katana - most nightmares quickly degraded into this, and I've had less than ten in the last ten years which bothered me at all.
A few movies have managed it, though. "Disappearance," a 2002 made-for-TV movie, for example.