I usually go for horror that's a little offbeat and different, and draws you in with intrigue. A good example that comes to mind is Pontypool, which quite deliberately leaves connecting all of the dots as an exercise for the viewer (as well as for the characters!). Another is the 1982 classic The Thing, which has great replay value due to the opportunity to puzzle out who is or isn't a "thing" at various points (other people do things like this, right? o.o;; ). The novelty and enticement of the viewer or reader to try to analyze what is happening makes the horror much more engaging for me. Other favorites for essentially the same reason:
It Follows,
Cube (I was disappointed by the math however…),
Stephen King's The Langoliers,
Stephen King's 1408 (the short story much moreso than the movie),
… actually, most things from Stephen King…
… and when I was a kid, I loved the original Phantasm. ^^;
I think the only horror genre video game I've enjoyed was The 7th Guest. o.o