They rely on the element of surprise. Like 'The mirror showed my reflection. But it wasn't me.' In just two sentences, they can subvert our normal expectations. We expect to see our normal self in the mirror, and when that's not the case, it creates an immediate sense of horror. The quick setup and twist is what makes them so effective at scaring readers.
Another really scary one could be 'My phone rang at 3 am. The caller ID said it was me.' It plays on the idea of the self being something other or unknown, and calls at that time are always spooky.
I think 'The clock stopped at midnight. Then I heard footsteps.' is quite scary. It gives this feeling of something ominous starting right at a spooky time.
Some two - sentence horror stories are truly spine - chilling. For example, 'I woke up to a noise in the kitchen. When I got there, all the knives were floating.' The simplicity of the setting and the unexpected, supernatural element make it effective. Another one could be 'She heard a baby crying in the attic. She doesn't have a baby.' It plays on our primal fears of the unknown and the unexpected in a very short space, creating a sense of unease and horror.