I think it it is less scary.
I personally don't believe in a higher being, although I am slightly agnostic (my exact feelings are neither here nor there for this thread). I rarely get *scared* by movies - as a kid Jurassic Park kept me up for nights on end, but then I was 8 when I watched it which was pretty stupid - I was only 10 when I saw Arachnophobia too...where was I? Oh yes - movies make me jump all the time - Alien, AVP, Pitch Black and stuff like that really get the adrenaline pumping and making me reflexively jump (thus making my mates think I'm a wimp) but they don't actually frighten me past that moment.
Final Destination was too funny to be scary, but I am slightly warier when walking near someone mowing the lawn now

- as another poster mentioned it's because these things are easier to relate to as they can conceivably (if are unlikely to) happen.
I don't believe in Vampires, Werewolves and stuff like that, but I still love movies like Underworld and traditional horror films, because the premise is entertaining and it looks good.
Some books can terrify me - but I have a very vivid imagination and by the next day I'm usually thinking what an idiot I was for getting myself so scared. But that's part of the enjoyment of reading, being able to immerse yourself in another world so that it becomes a mental release for a few hours.
Now, I appreciate that people say that "nothing after death" is a hideous thought to consider, and would rather turn to religion and the appeal of an afterlife - personally I find many religions to constricting in either beliefs or time involved, and that I would rather live my life to the fullest (within the moral codex of society) as I reckon it's the only chance we get to influence this world. If there is an afterlife then, by living a moralistic life, I stand a chance to get in (if a deity won't let a person who has helped others into a "heaven" solely because they didn't worship it, but lets in mass-murderers who have repented [and truthfully accept "the lord as their saviour"], then such a deity was never worth human devotion and I would rather be cast into the void or burn in a "hell" than side with such a twisted being...ooops, like I said, my religious views are a little weird); whilst if there is not an afterlife then I will not be able to physically/mentally) care, as everything that is *us* (so thoughts/ability to feel/"the soul") is gone and unable to realise our predicament, thereby rendering any fear of "the void" moot.
In summary, by the time we come to realise that our thoughts and all have really ended for good (as opposed to continuing in whatever manner your religion dictates) we will be unable to process such information in any way and thus it won't matter as we won't realise it.