FEAR was never intended to be a game that makes you "jump in horror" such as the OP states. For those who get really into it, it's more of an 'under the skin experience'. You might jump at the most needless events (kicking a piece of plastic on the floor anyone?), and when the real scares come, you bend away enough from the screen to produce the world's first ever recorded case of quintuple neck strain.
Most gamers that don't get scared by games have a preset attitude before entering the experience. "This game won't scare me." is one of them. It's quite dissappointing that a large group of horror gamers expect the game to do all the work for them, but really, to enjoy it to the fullest, you should actively try to get immersed and 'in the mood'. This is not just something I say in defense of FEAR, it applies to any game.
So, the next time you play a horror game, make sure you're alone, turn the lights out, put on a headset, tie yourself to a chair and poke out the ESC button to avoid 'illegal pausing' whenever you need a breath. It also works better if you're tired and shot some energy drink and stuff yourself with candy. (Hyperrrrr)
For the record, FEAR was the first game ever to make me afraid of the dark long after I've left my computer.