Reading “The Shining” late at night while no one else was around (or you hoped no one else was around) was a scary experience. Hmm, what’ll be behind my bedroom door when I open it?
Seeing the original “Psycho” late at night , at age 10, in a house with a basement that was spooky under the best of circumstances, had lasting effects.
And I’m not even going into detail about the episode of “The Twilight Zone” I saw when I was eight. :eek:
Sapphire and Steel. (Brit Sci-Fi/horror series 1979-1982)
I had no recollection of seeing the episodes… UNTIL I saw them as a repeat, around the age of 12 or 13.
Up until then, I was terrified of spots of light on the floor, and fearful of deep freezers at night. (from one ‘mission’)
http://tvtropes.org/pmwiki/pmwiki.php/Main/SapphireAndSteel
As the link mentions:
While most other notable British Science Fiction shows were over-ambitious in their special effects… … S&S simply did not try to do anything the budget wouldn’t allow. The result called for milking Surreal Horror for all it’s worth, creating a show that is, while definitely not for everyone, quite capable of reducing so-inclined viewers to quivering little heaps behind the sofa.
I love this series. I wonder if it’ll ever be revisited, with the same principles as above.
Bookwise, there was a short story I read (age 14 or 15 yrs) about a creature (vampire?) picking away at the lead of an old window pane to “get in”. I had a rosebush that tapped on my window in a breeze… heh. Gave that book away.
I can’t think what books have actually terrified me though.
There may have been one, a children’s book. It was an illustrated tale, and featured an image of a creature living at the end in of a long winding tunnel under the ground, and the way it looked, really disturbed me. I cannot remember it clearly, or what the story was about. It would intrigue me to find it again. (for some reason I associate Australia with it?)
I know I was more reactive to the images in a book, than the words, when it came to finding things disturbing. Words, not so much. It wouldn’t necessarily be about the subject (although that would add to it), rather, some quirk in how they were illustrated, and it was the picture itself that I would not fall asleep in the same room as. I don’t know the logic behind that!
I remember being adamant as a kid, about not sleeping in the same room as a particular picture, in one motel. (it might have been a Picasso print - distorted faces, anyway.) It just disturbed me. Also, books on mummification. They stayed outside the door too, even if I was fascinated by the book. 
I made a conscious decision to start watching horror films around the age of 15-16, to desensitize my far too overactive imagination. I gained an appreciation of some horror classics, and always made sure to watch the line… “This film is not based on any real persons or places” disclaimer. I remember one film’s credits were cut off by the station… 
Now I’m working on one. Heh.