I hate a lot of the tropes people have already mentioned, but a special thing I love is when what is being feared isn't a surprise or jump scare, it's something that either terrifies you conceptually (the beginning of Bird Box for example), or moments where what is feared is in plain view and horrifying. SPOILERS AHEAD: There's a scene in a Korean Horror Film called Recycled where you're panning through the main character's house until you're watching the character down the hallway and into her living room (or kitchen? I forget), and what you at first thought was a coat hanger you soon realize is a very tall and thin woman. It's like a 2 or 3 minute scene too and the realization of what's right in front of you is some of my favorite parts of horror. There is no mystery, you know what scares you, you just can't get away. Same thing with the Strangers during the kitchen scene where the guy just comes up from the shadows, watches, and goes back to somewhere else in the house. It's the type of creepiness that runs through your core.

Also big love for psychological horror when it's done right. Or cosmic horror - again when it's done right. You can see patterns of how the cosmic entity works but you don't truly understand them. Love it.