I remember in a psychology class, we had to watch the movie The Changling because some study at the time showed that it was the scariest movie (this was well before the Ring and the Grudge), but personally, I didn't find it all that scary (but worth a watch).
I think the reason the Grudge and the Ring seem to be so scary is because there is no rationale behind the haunting. Like in old horror flicks, you always had a silver bullet or a steak to the heart etc... to defeat the monster, and there was always an explanation behind why they were after the victim and how they could be stopped. In the latest horror flicks, the scary part seems to be that there is no real way of stopping the mosters, it's just a bunch of startling sequences of victims trying to outrun the monster. I don't know, maybe I'm wrong.