The brevity. They quickly create a sense of dread without over - explaining.
The element of surprise. In just two sentences, they can introduce a terrifying concept out of nowhere. For example, 'I saw a figure in the window. It had no face.' There's no build - up, just immediate horror. It catches the reader off - guard and plants a seed of fear in their mind. Also, they often play on common fears like the fear of the dark, the unknown, or things that are not supposed to be alive but seem to be. This makes it easy for the reader to relate to the horror presented in such a short space.
The lack of details can be a big factor in their effectiveness. Since they are only two sentences long, your mind fills in the gaps with the most terrifying possibilities. Take 'She walked into the empty room. Something grabbed her ankle.' You don't know what 'something' is, and your mind starts imagining all sorts of horrible creatures or ghosts that could be responsible, making it very effective at creating a sense of horror.