It sometimes depends on the individual for what may scare them. I've seen gross horror films (Saw, Hellraiser, etc) and while I cringe, it doesn't haunt me all that much. I think that's the real measure - if it bothers a person for a while after watching it.
Some people really got freaked out by
The Exorcist but I don't believe in demons, hell, the devil, etc so I actually thought it was slightly amusing in parts, if still disturbing because of the self-harm crucifix scene. I think that was the worst part about the whole movie. And that is coming from someone who had a light fixture anomaly right after watching it. (seriously, still can't explain that.)
Someone who is claustrophobic [and possibly scared of unearthly things] is likely to be pretty uncomfortable with something like
The Descent.
And then there are some films that inexplicably get to you. In spite of all logic, I thought
The Ring was pretty damn scary. It wasn't gory, startling or anything; they barely even used bad language. It was pure psychological eerieness by means of everyday sights. (TVs, phones, circles, water, little girls with long brown hair, etc)