Author Clive Thompson wrote an article on Wired in which he states that videogames manage better to scare him than horror movies. The argument for this is - according to him - that there's a much larger immersion in games than when passively watching a movie

I personally can't sit and enjoy a horror movie. That movie genre just isn't one that can grab my attention. I just don't get into them as much as others. However, with games, I think you are so much more involved in the game. My mind can wander while watching a film but when playing a game, you have to stay focused. Unless the game sucks of course.