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.
The brevity. It quickly sets a spooky scene and then drops a terrifying twist in just two sentences. For example, 'I found a diary in the attic. The last entry was my name.' It makes your mind race with questions and fear.