I'm not scared by the look of "monsters" but sound scares me and the "scary situation" in general. So, the only advice I can give is play or watch something "scary" alone in the dark with loud sound. This is what gives me the awesome feeling of being scared (not too much but enough to let me enjoy the scariness).
If you just can't be scared at all it may also mean that you don't dive enough in the movie/game. If you really feel as if you are there then you should be scared, if you don't feel that and always have in mind that it's only something on a screen in front of you then you will never feel it. So, try to forget that it's not real and try to feel as if you are really there or at least as if it's something really happening.
When I play a game like Amnesia I'm also not scared the first minutes since I'm still like "I look on a screen" but when I start to forget this and am deeply involved in the game with my mind then it starts to be scary 
