I very rarely read horror. I don't scare easily anymore so it's almost always never scary. What might scare me are not supernatural but realistically disturbing stories, and I generally don't like those anyway because they're too disturbing.
It's easier to watch horror films because you're only involved for a few hours so you can have your jolt and be done, which might be a similar sentiment to horror short stories being better.
Of film, the scariest one I think I've ever seen was the original The Texas Chainsaw Massacre from the 70's. It might also be considered "splatterpunk" though I'm still not sure exactly what that is. I watched it when I was in my early 20's and my roommates were gone for the weekend; it was close to Halloween and I thought it'd be a great idea to watch it all alone late at night. Suffice it to say, I ended up having to turn all the lights on and check all the rooms and closets and double-check all the locks and windows, heh.
Maybe the best thriller film that's a sort of psychological horror that I've ever seen is called "Spoorloos". It's a Dutch film from the 80's and translates to The Vanishing. There is a horrendous American remake that changes very important plot details and is to be avoided at all costs, but the Dutch original is chilling. If you're interested, I'd suggest knowing as little as possible about it before watching.
By the way, this is an interesting conversation to be having in January in a June category thread, lol.