Finally, brothers, whatever is true, whatever is noble, whatever is right, whatever is pure, whatever is lovely, whatever is admirable—if anything is excellent or praiseworthy—think about such things. Whatever you have learned or received or heard from me, or seen in me—put it into practice. And the God of peace will be with you. Philippians 4:8-9

The concept of “scary” differs from person to person. Some may be scared by “Bambi” and others by Freddy Krueger.

Being scared isn’t a sin, but dwelling on ungodly things is. Scary movies tend to glorify certain elements that can cause you to sin.

For some, these movies can pull you away from God.  For others, they can pull you closer to God.  For still others, it may have no effect. 

Without making a dogmatic assertion about something here (like how card playing and dancing used to be), it's up to the individual and how scary movies effect their relationship with God.