You're looking at it from the wrong perspective. At the risk of sounding like Soviet Russia, horror games don't scare you, you use them as an excuse to scare yourself. Horror art and entertainment isn't about shoving a needle in your chest and twiddling it about until it hits the chord that makes you panic. It's about giving you a setting, a plot, an audience surrogate, a source of threat and then letting you scare yourself. Just like a touching story can't touch you unless you let it, horror can't scare you unless you play along (which is why a lot of people don't find Lovecraft scary at all).
And it doesn't even have to be horror to scare you, I routinely scare myself with the Romance genre (particularly with the concepts of "destined love" and "soulmates") because I choose to delve deeply into the horrifying implications of what it tells me, because I put myself in the victim's place, with a different mindset, and I contemplate the story's tenets with abject fear. Then I walk away feeling better, knowing that our world might be many things, but at least it doesn't have soulmates or any form of magical fate-shackles.
EDIT: You also need to figure out just what scares you. We are all scared of different things. Do you fear specific things, like spiders, body horror, snakes, blades/needles, etc.? Or do you fear more abstract things, such as the collapse of society, the end of your freedom, being brainwashed, or the inevitability and inescapability of a relentless enemy? Do some soul-searching! Being scared is not only fun, it's also a deeply personal and introspective experience that teaches us more about ourselves, and lets us face the world with renewed vigour. It teaches us control over our fears, and by exposing us to them, we learn how to react IRL if we're caught unaware. Because we have mastered our terror with a videogame, book, movie or the like, we can master it in reality, and that's invaluable.
