If u don't get scared I would tell u to play the PT demo. I know it's not a movie, but it's in the entertainment medium. I would say PT is the scariest form of media I've ever experienced. Unfortunately, it's no longer available if u haven't already downloaded it on ur ps4.
I also found dead space 1 and 2 both intensely scary and fantastic.
I think games do terror better bc the fear is much more real since u are actually the main character.
As for a movie, I thought The Conjuring was both scary and very well done.
Lastly, I think u should also watch or play scary things by yourself. It's way easier to not be scared when you're with other ppl. But watch or play alone in your house at night with the lights off, and I'd be surprised if you didn't feal fear or at least a little uncomfortable or uneasy. Even seeing a movie in theaters for me has proven much less scary than with just one or 2 ppl at home.







