Anything supernatural scares me to death. Not being able to stop something from just terrorizing you or frightening you has to be the worst. At least with serial killers you have a chance to stop them, but demons? You're screwed.
This is especially true with possessed little girls in nightgowns. Nothing worse than that. They're not innocent, they're lifeless abominations that will eat your soul and scare the hell out of you with their lifeless, hateful eyes.
This is why I don't see many scary movies.