We went and saw The Omen the other night (not on 06.06.06, that would have been too spooky). And while there were a couple of "jumpy" moments - and one in particular made everyone in the theatre gasp and a couple of girls scream - it really wasn't that scary.
The conclusion I have come to is that they (and by "they" I mean Hollywood) just don't make scary movies like they used to, gosh-darn it (slaps knee and pulls comical face). Except for maybe the remake of The Ring, which scared me despite the fact that I was watching it on a dinky, scratched-up screen on an aeroplane, there are no modern films which scare the pants off me like those old flicks (still) do. And The Ring was a remake of a Japanese horror film.
I also watched Wolf Creek recently (Australian, non-Hollywood), and I have to admit, it was quite well done. There was one point at which I had to switch off the DVD and seriously contemplate vomiting. But again, that was more a symptom of the sheer nastiness of one particular scene than legitimate fear.
I think the scariest movies are ones that A) could be real (ie. no pseudo-religious hocus-pocus or distracting special FX), and B) involve a character slowly coming to the realisation that they are completely alone and vulnerable, either in the physical sense or in their beliefs. Rosemary's Baby is seriously spooky, as is The Stepford Wives (yes, it's horror - read the book). Also, The Day After. These are movies with big themes, and possible, really terrifying scenarios - not your usual slasher/bogey-man flick.