They are effective because they quickly set a spooky mood. In just two sentences, they can introduce a disturbing idea like 'I walked into the forest. Every step I took, I felt eyes watching me from the trees.'
A 'two sentwnce horror story' I know is 'I found a diary in the attic. The last entry read, 'They're coming for me, and now they know I'm here.' It made me feel so uneasy.
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.
They are concise. For example, 'The phone rang in the dead of night. It was my voice on the other end asking for help.' In just two sentences, it creates a sense of dread. They often rely on the unexpected. Like 'I found a door in my basement that wasn't there before. When I opened it, a cold hand grabbed mine.' It takes a normal situation and twists it into something terrifying.
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.
Here's another: 'The old doll in the attic blinked. I ran out and never went back.' This creates a sense of unease with the simple and unexpected actions. The blinking of the doll, which is an inanimate object, is very creepy.