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The Blair Witch Project. I know it seems cliche, but when it came out it revolutionized the way horror movies were done. Hack and slash flicks were considered passe by audiences - the formula had been done to death. What The Blair Witch Project did was take it make the move low tech, and instead of constantly bombarding you with Jason or Freddy slashing their way through the cast and rivers of blood, it kept you guessing what, if anything, was out to get them. I think because you never see what's out there in the woods, the sense of impending danger is much more real. Because then it was a lot harder to walk out of the theater (or living room) without wondering what was in the shadows that could get to you.
This formula, at least for a while, was successfully executed by M. Night Shyamalan, who liked the idea that the unknown was always much more terrifying than something that we could identify. It's a formula that Steven Moffat also uses to great success, blurring the line between fiction and reality.
Ask any Who fan who the most terrifying Who villain is, and the most common answer is the Weeping Angels. That's right, Steven Moffat made cemetery statues, actually any statue, terrifying beyond belief. He has also made shadows terrifying - the Vashda Narada are flesh eating shadows, making any dark place a personal hell if you think about it too long. Also keep in mind how much of the past year of your life you actually remember. How much of it is just a faint blur? Now what if the reason why you can't remember is because there is an alien race using post hypnotic suggestion to guide your actions and you don't remember them after you turn away from them? Oh yes, as silly as Steven Moffat can get (see the Red Nose Day specials "Time Crash" and the "Curse of the Fatal Death" to see just how silly he can be), he can also be absolutely terrifying.
And really, The Blair Witch Project made the sort of low tech, what the hell is hunting me horror film popular. Of course now it's the formula that's been done to death, but when the movie first came out, it scared the shit out of EVERYONE.