What makes a horror movie scary?

The lack of an explanation or reason (The Birds).

Everyone is scared of something. It depends on the individual.
I enjoy all sorts of horror. Some are just fun to watch.
The ones that scare me the most have more to do with something that really could or has happened in real life.
There are two movie adaptations from two stories that were written by Stephen King.
A Good Marriage
Big Driver.
To me, both films are frightening

On the other hand, I love a good ghost story, so put The Haunting, the original, and Ghost Story, the 1981 adaptation of Peter Straub's novel, on my list.

It depends on the film and what ticks your own boxes. Some are effected most by jump scares, other a sense of unease, others gore. It really depends, torture porn was big for awhile because it was disgusting and upsetting to watch. Having an unstoppable psychopath chase you (slowly while still keeping pace and sometimes passing you) can stick with viewer. Being killed by things in your dreams can be very effective or being killed by something that could exist like a great white. It could be a creepy clown toy sitting in your bedroom of your haunted home staring at you while you sleep.

Pervasive dread

I think it's already been said, but horror is so subjective. What I find absolutely terrifying, someone else might find funny. I prefer a well done slow burn and am not too big on a lot of jump scares. I know that a lot of people prefer jump scares. I prefer to be unsettled. I don't like knowing the back story in a lot of cases as well. That seems to be a common theme in this thread. If I know a killer's motivation I'm not scared by them because I'm busy empathizing with them.

The background music and what you DON'T see. The Entity is the only movie i won't watch alone,the whole pounding music unnerves me and the fact you can't see it is terrifying,that movie gave me nightmares.

Slasher films are not scary at all. Films with paranormal or possessions freak the shite out of me. Still can’t watch exorcist alone

Edit: oh ya and anything with creepy dolls that stare at you

For me, it's definitely the rule of less is more. When I can see the monster in all its glory, it's not so glorious. The only exception is probably that eye-hand creature from Pan's Labyrinth. Also I think when the stakes are actually high as opposed to knowing there's no danger, that's when I start hyperventilating a bit. And I think the reactions being equal to the threat really helps. When someone doesn't seem scared, the thing that is supposed to be scaring them loses its effect. Also, likewise if someone is over-scared, it becomes too comical.