I love the kind of horror that toys with your expectations. It makes you feel awfully insecure when you feel like you can't predict what's going to happen next.

That and paranoia. If done well, a portrayal of paranoia can be pretty damn horrifying. I remember one recent instance in particular where you saw things through the paranoid person's eyes who eventually kills whom they perceive as a threat and then end up commiting suicide. And it still took me much longer to realize that he was the villain in that story, I legitimately believed his paranoia to be the truth. It was quite the "oh trout" moment when I realized, much later.