I watch quite a few horror movies, and like to think that I have a good idea of the genre, that I watch quite a few analytical videos of horror movies.
Not everyone is scared of the same thing, and if you are not scared you maybe are not watching the type that goes by your fears, or you are maybe desensitized yet maybe still spooked by a movie from a certain period that brings you back to that time.
I just the other day watched the new Anabelle movie (Anabelle Comes Home), and I can say that it spooked me. I had heard some negative review about it being expected jump scares only, but I think that it did a good job in building the tension that hit the right notes. I do think that The Conjuring 2 was possibly the best in building up increasing tension, even managing to make the daytime feel like not a safety from the tension. And I think even The Nun had its well use of spooky environments.
I could just link some scary scenes from movies, but a lot of them build off of the tension already crafted in the movie, and things like building an empathetic connection to the characters. Which if you have become really desensitized, you may not let yourself do such with a horror movie. Even if I can think of the nun painting scene in Conjuring 2 as a particularly strong scene. Some of the best horror movies I have seen were ones that managed to make an immersive experience, such as with the movie Hereditary, where you would have to have been in the cinema to get things like a particular sound coming from a specific speaker and raised the scariness of putting you into the scene. And also the movies that do things like releasing the low sound as to give you a feeling of oppression that could be practically subconscious if you are not familiar, as to heighten the experience of certain scenes.
But there is also movies that do different things. There was a particular hidden gem I found a while back called Black Mountain Side, which had the isolating setting kind of like The Thing, but did madness and oppressive unseen forces in a way that I think was particularly strong. And it would really only work if you let yourself get drawn in by the feeling of isolation and uncertainty.
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Through dream I travel, at lantern's call
To consume the flames of a kingdom's fall