Well, they are effective because they create a sense of immediate horror. In just two sentences, they can set a very spooky scene. For example, 'The clock stopped at midnight. Then I heard a slow, dragging sound coming from the attic.' It gives you just enough information to let your imagination run wild. You start to picture what could be in the attic, why the clock stopped at such an eerie time. It's like a quick jolt to your nerves.
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.