A good one often plays on common fears. For example, the fear of the unknown. Like 'The doorknob turned slowly in the middle of the night.' It doesn't tell you who or what is turning it, leaving your imagination to fill in the terrifying blanks.
I woke up to find my bedroom filled with black feathers. I live on the top floor, and there are no birds around. I still don't know where they came from. It gives me chills every time I think about it.