I've read my fair share of horror (I've even written some), but I don't necessarily like it all.
Besides, what can be more terrifying than reading the newspaper?
But that's kind of the crux of what makes really good horror really good. It's plausible. The vampires and werewolves (besides being hijacked by romance writers *rolling eyes*) are all good fun, but not hugely scary because there ARE NO vampires or werewolves. Sorry fans of Stephanie Meyers.
I go in for really good psychological horror, the kind that explores the darker side of humanity and leaves you not double checking the doors at night to keep it out, but taking a look at your own heart and mind and trying to convince yourself that YOU could never do something like that.
I present, as an example, the profoundly chilling "The Whimper of Whipped Dogs," by one of the powerhouses of speculative fiction, Harlan Ellison. You can find it in several volumes, including:
1. Bad Moon Rising, edited by Tom Disch
2. The American Fantasy Tradition, edited by Brian M. Thomsen (which I highly recommend as a good collection of dark fantasy and horror from American authors)
3. The Essential Ellison: A 35 Year Retrospective and the expanded 50 Year Retrospective
4. Deathbird Stories, by Harlan Ellison
Several other. Just Google the story title.