I'm not scared of 99.9% of fiction, be it on the screen or in a book. Not since I was five and having nightmares from Poltergeist. My mom taught me that it was just a movie, and nothing from it could get me.
That lesson has stuck with me.
Sometimes, having a constant subconscious disconnect from the events of a story is a detriment. I just don't get caught up in the moment, never suffer any ill-effects.
Notable exceptions are Dean Koontz's Phantoms and the American remake of The Grudge.
Koontz is wonderful at creating suspense, at teasing you, and leaving plenty of room for your imagination to fill in. Not that I was screaming in terror, but I definitely got spooked.
The Grudge had all the right elements, and used them well. Ghosts are spooky, because you can't do anything to them. Then touching wet hair in the bathtub just had me cringing. And that croaky-groan noise! *shudders*
What made The Grudge especially scary was that it violated childhood rules; you're safe under the covers. That scene scared the bejeezus out of me.