As others have stated, psychology is a main factor in horror. However, realism is a wonderful tool. If something seems as though it could actually happen or that could be happening right now at this very moment, it makes the fear that much more real.
When I read horror, I'm not scared by zombies, vampires, werewolves, or other things that go bump in the night. No, not scary in the slightest. It's not real. It can't happen. It won't happen. It's proven it won't happen by the lack of it occurring.
Scary things don't always happen at night, either. Yea, it was a dark and stormy night, but chances are someone isn't going to do something in the middle of a storm. Why? Most likely, the attack would be from the outside of a building. Someone would have to physically break into a house or place of residence. Guess what? Most people don't like being out during a storm. We're spoiled like that.
You know when scary things do tend to happen? During the summer. People are irritable, more likely to kill someone, to harm them, to rape them, or to kidnap them. Summer and winter holidays. Shop-lifting during the holiday season, domestic violence on the rise due to financial frustrations, killings, kidnappings, people being trampled on to death, car accidents (due to weather), stalkers (especially around Valentine's Day), and a number of other things. Those are not unheard of.
If you don't think that's scary, I don't know what to tell you. Yea, who's afraid of the big bad wolf? Probably not very many people, especially now that the big bad wolf is considered sexy. Human potential most certainly is the scariest of them all.
What's even scarier than that is a psychopath without motive. There isn't a reason why this person is running around killing people, but we'd like to think there is. S/he kills people because s/he likes killing people.
The ones who lack self-control are to be feared as well. Those without morals, human decency, the respect for those and their property, and those who know not right from wrong. Those are the people who will do what they wish without fear of consequence.
That's what I think makes a good horror.