The main characteristic is brevity. With just two sentences, they can create a sense of horror. For example, they often introduce a spooky situation or an unexplainable event very quickly. Like 'I opened the attic door. A cold hand grabbed my wrist from the darkness.'
One that stands out is 'The footsteps followed me up the stairs. When I reached the top, I heard them right behind me.' This story builds tension as the footsteps keep getting closer. It gives the feeling of being hunted, and the reader can easily put themselves in the shoes of the person in the story, imagining the panic of being chased up the stairs with no escape in sight. The simplicity of the two sentences makes it even more effective in creating fear.
One effective one is 'I was home alone. Then I heard a voice whispering my name from the empty basement.' It gives an immediate sense of dread as being alone at home is a common situation and an unexplained voice is very creepy.