But here's the thing. This is how many times a movie not scaring me has affected whether I liked it or not: zero.
There are those who like horror because it scares them. Plenty of people, in fact. Others go for the gore and the jump scares. I wish them all the best and wouldn't even try to persuade them against it as changing the heart is a difficult thing to do if that's where the heart leads you. But for me, it's mood, all the way.
I like atmosphere. No, screw that, I love atmosphere! Atmosphere gets me through and that's why, for the most part, whether a movie is demonstrably scary or not doesn't matter a whole hell of a lot to me. If you've visited here long enough, and read through enough Octobers, you've seen my mentions and write-ups of City of the Dead (aka, Horror Hotel). And if you're groaning, thinking, "not again," don't worry, I'm not going to go back into it except to say that it's the "thick as mud" atmosphere that sells me every time. It's not just a favorite horror movie, it's a favorite movie, period.
Recently, I wrote a post on TCM about my semi-addiction to isolated locations in the movies. In it, I mention both The Wicker Man (1973, of course) and Don't Look Now as two personal favorites. Both of those movies have horrific, even supernatural elements to them and that makes it easier to provide a dense, foreboding atmosphere. It can be done with drama, but an isolated landscape in a drama, like Stroszek (also mentioned in the post), gives off a whole different feel than horror. In drama, the feeling is more of the despair of hopes and dreams. In horror, it's more about the dread of the unknown. And that dread is what pulls me in, every time.
It's why the Universal classics work so well for me, because of their command of atmosphere and mood. I don't watch Frankenstein or The Bride of Frankenstein because I want to be scared. I watch them for the mood they set, a sense of dread, of creepiness and foreboding. And all of the horror films I love, from Old Dark House and City of the Dead to The Shining and The Thing (horror/sci-fi), have a true command of atmosphere.
But great atmosphere need not be a product of big studio financing. As often as not, it's something that can be obtained on easy credit with no money down. Take a look at Carnival of Souls, The Blair Witch Project or Paranormal Activity to find great cases of atmosphere done on the cheap.
So when I hear someone complain that a horror movie isn't scary, frankly, I get a little irritated. The horror genre's sole purpose is not to scare but to deal with horrifying elements, usually, but not always, in dramatic form. Something can horrify us but not necessarily scare us (Freaks, perhaps). The two are not synonymous. It can do both, one or the other or neither. The horror movie deals with that which is outside the realm of most people's normal experience. To get those kinds of stories right, the first thing a director has to do is establish mood. Only then can he hope to scare us. To paraphrase the old saw about real estate, in the realm of horror, the three most important things are atmosphere, atmosphere, and atmosphere. And when it's done right, it's like the air that you breathe.