Gotta caveat with...I think I'm far too picky about my horror. I read a decent amount (and watch and play it), but I find myself impressed with very little.
I look first for strong characters I actually care about, and time to care about them. Domino-type deaths where you have about two chapters to get invested don't really do it for me. Death in and of itself I don't find scary at all; that's merely a physiological function, like a bathroom break. Dying is often more scary than death, or the threat of death as a character claws for survival. The horror in death scenes, to me, is seeing a character I've genuinely come to care about threatened, trapped, struggling, then physically broken (if the survive) or just plain fail (if they don't). But, no matter how creative, unique, or painful the demise, if the character is little more than a cypher then I just couldn't care less. And domino deaths (where you have multiple characters being picked off one by one) just tend to cause me to disengage caring since I realize it's useless to invest my emotions in what are essentially walking corpses.
Of course, with a character I actually care about death is not a necessity to make the book scary. The threat of horrible things can keep a reader jumping if properly done.
Another common trope I often see is that deaths don't really matter; once dead a character just sort of...vanishes. Been friends with Billy since grade school? Welp, he's dead now so lets never bring him up or think on him again. ...Okay, maaaaybe we'll throw a token paragraph or two in somewhere, just for consistency's sake. Maybe. But don't bet the farm on it.
I mean, no one wants the plot derailed by too much in depth mourning (if there's even time in a fast-paced plot), but there has to be a happy medium between the remaining characters falling apart and having a death mean about as much as a broken sack of flour.
Another thing I'm tired of--in movies and books--is the "we didn't think this through" plotline. You know the one, things go from creepy to creepier, a whole lot of weird and random stuff happens, each more horrifying than the last, you find yourself on the edge of your seat waiting to see where all this is going and how it ties together, then...nothing. No resolution. Not even an inkling of explanation as to why everyone died.
You can almost see the creative process involved; "Man, I got all these great ideas but I can't think up an ending! *thinks* You know...if I just kill everyone I'll never have to explain anything! Yeah, lets do that!"
As you can tell, I like some explanations or at least worldbuilding foundations in my horror.
A monster or scary situation too deeply explained certainly runs the risk of not being scary, but one that's too little explained just feels like a ripoff. The most classic ones always had just enough explained--for instance, werewolves turn under a full moon, can be killed by silver, and if wounded in wolf form it will carry to their human form; a nice solid foundation without explaining everything. A more modern example (though slasher flicks don't scare me I know they can scare the bejeesus out of others) is Freddy Kreuger. We know he's a psychopath who murder children, got lynched by fire, his spirit found a way into dreams, and from there he continues his murder spree. How a man can physically transform to a wolf, how Freddy--a pretty normal murderer, all told--found the way into dreams and how he kills from there is never really touched on, nor do audiences really ask those questions. We know enough to make us feel grounded, which makes the scares even scarier and, more importantly, last long after we walk away from the story.
To me those are the best monsters, the best spooky situations (like haunted houses/asylums/whatevers), the best scares. I have never heard a noise in the middle of the night and thought back on the horrors with no real explanations for what's happening in the plot, but I have danged well found myself creeped out in a dim basement laundromat late at night because I feared werewolves leaping in through the windows. You get an irrational fear like that and you know some storyteller somewhere has properly scarred your psyche.
Speaking of scarring psyches--good psychological horror for the win. Play with my head, please.
I also like decent endings. I don't necessarily ask for everything to be resolved, nor for a happy ending (though the occasional one is a nice break and, used properly, can actually underscore the horror), but if the entire book/movie/whatever can be summed up with "zombies bite, everyone dies" I'm gonna feel cheated and not come back for seconds. Again, death by itself is not scary; the dead feel no pain. Only the living do. Take that away and all that's left is a chronicle of wasted effort ending in death. And that's not scary; it's just depressing.