Read the latest posts to this thread (and was surprised to find one of my own). Reading (or rereading) them suggested a couple of thoughts.
First, it seems to be easier to bring off horror in film than in print, although what counts as horror may not really be the same in the two media.
Second, written horror tends to be subtler, and less visceral, than filmed horror. Arthur Machen is regarded by many as a master of written horror. Common threads in his stories are something uncanny emerging from the ordinary, with gruesome elements suggested rather than shown. (The May 28, 2020 New York Review had a nice retrospective on Machen that prompted me to get his collected works on Kindle, which I have enjoyed greatly.)
Third, what counts as horrifying can be intensely personal. I summon as witness every poster in this thread who shared what they find horrifying!
Fourth, everyone has favorites they love to share. I plead guilty.
As a kid, the only story I remember giving me a jolt the first time I read it was Lovecraft’s The Color out of Space, at the very end, with its suggestion that the eerie contagion that destroyed the isolated farm household could be out there still, slowly contaminating the whole world.
Another favorite is, for my money, one of the best ghost stories ever written, William Hope Hodgson’s The Whistling Room. It could make a splendid horror film, come to think of it.
When it comes to horror films, I have in mind two very different films. Polanski’s Repulsion, starring a young Catherine Deneuve, hits below the belt in a way that (say) The Excorcist does not.
Finally, reading these posts made me think of a film that has a moment of a subtle kind of horror. Near the beginning of A Girl Walks Home Alone at Night the male MC is walking home after having his car stolen (if memory serves). As he crosses a small bridge over a ditch the viewer sees it is filled with corpses. The man doesn’t react, and no explanation is given. It’s not a plot element. It‘s just something everyone knows. Sound familiar?