That's odd. I would have figured that Highschool of the dead would be the one some might consider not to be a horror anime. Yes, it has zombies but it doesn't have any sort of scary vibe to it. It's closer to a late night B thriller with lots of T & A in it. It's still good though.
There's no real horror genre that's been established in anime or not much of one to speak of. On some anime sites, there's no horror option to select within the genres.
I didn't watch Highschool of the dead so no comment given for it. For all I know it could be the scariest anime out there :P.
TBH when I was younger I even got scared of Inuyasha and Case Closed (Detective Conan) lol. But clearly not horror to me anymore.
Well, here's a kinda NSFW trailer. blood and a few panty shots. I tried to find a more SFW trailer but after watching several trailers, I gave up.