I've had a few frights while watching scary movies, but the effect almost never lasts after the moment has passed - meaning, it's rare that I have nightmares or lie awake clutching the blankets to my chin wondering what's under the bed or coming down the hallway because of some horror flick I watched.
But the thing that WILL creep me out in a way that sticks, is one of those "true ghost story" type shows. Whether or not they're actually "true" or just packaged that way for more impact is irrelevant... but when something is presented as a "real" everyday person recounting some brush with the scary end of the supernatural spectrum, it can really get to me. Especially when they accompany the story with some dramatic visual reenactment of the event being described by the person who supposedly experienced it.
Years ago one of the cable channels ran several hours of that stuff around Halloween and I watched quite a bit of it. And let me tell you, that night I
did spend some time lying awake clutching my banky to my chin while the stuff I'd seen played back in my head.
The one horror flick that I remember giving me an honest-to-goodness nightmare was
Ringu. I dreamed that creepy little girl from the movie came out of my TV and was coming down the hall to get me.