Two-sentence horror stories can be quite scary. They often use simplicity and ambiguity to let your imagination run wild, which can make the fear more intense.
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.
It depends on the person. For those who are easily spooked by the unknown and sudden scares, 'Bag Man' can be really terrifying. The two - sentence structure is designed to shock, and it does a good job of that. However, some people who are more desensitized to horror might not find it as scary, but it still has an eerie quality.