I have thoughts about horror that I've never really been able to express properly, but in their simplest form they amount to the idea that proper horror should violate the rules of the world. It should be /wrong/ somehow in a fundamental way.
"There's a man who's stalking you" is scary, but it's not horror; it doesn't break any rules.
"There's a skeleton, risen from the dead, that's stalking you" is horror, because it breaks a rule (skeletons do not rise from the dead).