I'm mostly scared by a complete loss of control. Possession stories really get to me, for that reason - not having any control over your body, even having your mind overtaken by something else. Similarly, well-written alien invasions scare me because you can't control that situation when you have no idea who your enemy is, what their capabilities are, or what they want. I can tell you what doesn't make scared - zombies, vampires, werewolves and other such supernatural creatures. I'm so bored of those in horror.