Movies like Hostel and Saw which involves a lot of torture. I rarely watch them because they scare the shit out of me.
I saw Wrong Turn when I was a kid and was absolutely terrified. That's actually part of the reason why I have serious issues with being surrounded by large sections of trees (i.e., Pennsylvania).
I hate all zombie and apocalypse-type movies, but I watch them anyway. Fun fact: I waited until the new year to see 2012 (like hell was I going to watch it during 2012), but still haven't mustered the courage to see it.
Ghost stories scare me quite a bit, too, but I also love watching them. Actually, I love watching horror movies period (except the torture porn ones) even though I get frightened so easily. Haha. I'm generally the person in the theater sitting next to you who's peaking through her fingers, constantly jumping, and gasping all the time. I'm a total scaredy-cat. :P