I think there are plenty of scary options for women's costumes, you just have to get creative. Aethren's suggestion sounds particularly disturbing. One thing that women can pull off easier than men when it comes to horror is the fear of something that is meant to be innocent or kind and contrasting it with morbidity and terror. Silent Hill has this down really well, with both a creepy little girl and those nurses. Man, those nurses. Not many costumes can actually be scary outside of the context of the movies, games, comics, etc that they originate from, but those nurses are always terrifying to me.