Something important to note when watching horror movies that could change your entire perspective is this....you need to set the mood. Horror movies, more than any other genre, should be watched in a particular setting. The point of horror movies is to try and scare you, so you should, as best you can, try to put yourself in the position to allow yourself to be scared.
Ideally, you should watch the movie completely by yourself, with all the lights out, no distractions, headphones on. This makes a world of difference and it makes perfect sense. If you're watching a horror movie during the day, with all the lights on and your children running around screaming there is no way possible that you can be scared by it and in turn you'll be like "that wasn't a scary movie!"
I had a friend years and years ago, I recommended a scary movie to. A week later he told me he watched it and said "that wasn't scary at all." I asked him questions about when/where/how he watched it. He told me he could only watch it in the afternoon because that's the only time he was able to. All three of his kids were awake, playing games in the same room as him, and he was having a conversation through text message with his wife about one of the kid's birthdays coming up. I told him "of course you weren't scared."
It sounds like common sense but it's true, if you think about it. Maybe try that out next time if you don't already do that.
To answer your question: one movie that really creeped me out was 'Session 9'. It is all about atmosphere with that movie and it works well. Maybe check it out.
Agree with your point