Horror affects me most when it is grounded in reality.
Lovecraftian (the unknown): No effect on me in and of itself. The more "out there" it gets, the less it will work on me.
Psychological: This can leave the most profound and long-lasting disturbance. I tend to be deeply disturbed by acts of cruelty from one human onto another, especially when they are realistic or based on real events. I couldn't sleep after watching Hotel Rwanda.
Body horror: No effect on me.
Monsters/killers: Monsters don't affect me. Killers can carry the psychological horror if done in a certain way. If it's just a slasher film in which flat characters are killed by a shallow villain, no effect.
torture/ gore: It's cruelty. I can't watch it. It's not the gore itself (I am, after all, on the path of being a surgeon), but the cruelty. I don't like to see people suffering. I will not watch a torture scene. Same goes for rape.
zombies: Zombies are disturbing to me. It's not the threat they represent, but it's their faces. It's a sort of uncanny valley effect. They are human, but off in a way that creeps me out. They represent, to me, a loss of one's humanity. I hate zombies, zombie games, and zombie movies (except for Shaun of the Dead).
magic/supernatural: No effect.
Surprise horror: I'm a jumpy person. If you sneak up on me, I will freak the fuck out. If you're in swinging range, I will hit you hard. I can't control this reaction. It can be something as innocent as you walking into the room I'm in and saying "Hey". If I didn't know you were there before you spoke, you'll make me jump. Surprise horror definitely works on me. Beyond that, I can be so on guard about it that it gives me an overwhelming and crippling anxiety. This happened to me in BioShock. I was so constantly on guard of someone jumping out at me that I became to anxious to enjoy the game and quit it very early. This also (believe it or not) happened to me near the end of the first Uncharted game.