I'm the same way - I've been trying to think of a movie or book that really scared me, and I can't. The only thing I can remember really, really getting to me was the King short story 'Room 1408'. Only the story though. I love the movie, but it didn't scare me any. (The ending I didn't like, because I saw the director's cut.)

Though things with aliens scare me to death. I have a horrible fear of aliens, stemming from being exposed to sensationalist tabloid style 'alien abduction' tv specials when I was very little. I don't even remember seeing them, but according to my mother, I caught part of one when they watched it and wouldn't go outside willingly for months afterwards.