I usually don't get scared by horror movies. Sure, the occasional jump from a loud sound or flashing picture, but those are reflexes, not from fear.
Not that long ago, though, late one night, I watched a Japanese movie called Audition. Just before going to sleep. The last scene was, eh, dare I say horrible? Not to spoil anything, but it was really gross, and the thought of something like that happening in real life... Yes, I was scared.