Scary movies don't normally scare me. Scary documentaries, however, do.
I remember getting shaken up by watching "Mystery Hunters" a few times as a kid. I even watched a documentary about a haunted house with some special effects and I was scared to go to bed alone years ago. I remember watching the "Blair Witch Project" last year and I couldn't get to my room without turning all the lights on the way there.
I am very aware that movies are nothing but special effects and acting but scary documentaries spook the Hell out of me. This is mostly due that fact scares me more than fiction does.