I'm not sure that I've seen any genuinely scary movies. I've seen plenty of movies that allege to be scary but they're not, they just rely on sudden bursts of loud music to make people jump. I don't consider that to be truly scary. I've seen some of the older movies, like The Exorcist, which I also didn't find scary but in the case of that film, I just don't think it aged well. I honestly found that film more humorous than scary. I didn't find the Halloween movies to be scary either, but I do enjoy those films despite how shitty some of the later ones got.
As for video games, I guess they're more likely to make me feel scared to some extent because they almost make me feel like I am the character, seeing as I'm controlling them. The first time I played the Resident Evil remake, I'll admit, I was a little on edge when I was walking around the mansion. I'd get a fright and get panicky when one of those dogs came crashing though one of the windows and started chasing me. I'd be cautious every time I entered an area for the first time because I didn't know what to expect. Games like that are able to scare more more than any movie that I've ever watched was able to.