Can you give an example of something that's scared you in the past?
The scariest Stephen King I've read was Pet Sematery, although his novella The Long Walk (written under the pen name Richard Bachman) was pretty good.
Clive Barker's got some good stuff out there; I prefer his short stories, especially one called The Body Politic. It's in one of his Books of Blood.
The annual anthology called The Year's Best Fantasy and Horror has some great stories in it every year; look for it.
Certain scenes in Perdido Street Station are full of great terror, and it's generally a very good book.
Or, if you want unrelentingly grim horror, you should pick up the literate and brutal Blood Meridian, by Cormac McCarthy--it's cowboys and Indians done nightmare-style.
Daniel