Their brevity. For example, 'The old house was silent. Then I heard breathing.' It gives just enough to make your mind fill in the blanks with the scariest things. You create your own horror in a way.
Another one: I woke up to find a cold hand on my throat, but no one was there when I turned on the light. It made me shiver all night long. I still don't know what it was.
Try 'The wind whispered secrets that froze the blood in his veins as he entered the cursed cemetery.' It's short but effective, grabbing the reader's attention right away.
Well, they are short and to the point. There's no time for long - winded explanations. They quickly plant a seed of horror in your mind. Like 'I found a strange key. It unlocked a door I'd never seen before.' It leaves a lot to the imagination, which is what makes them so effective.