Many "horror" movies are really not all that horrifying. The best they can do is randomly startle you; one minute there's a bunch of cliche, idiot kids walking around in the dark with nothing going on and then a madman dressed as a clown leaps out of the ground with a flaming chainsaw and rips one of the kids in half.
...no, wait, that would actually be a pretty cool idea for a movie. Fuck, why has no one done this?
IMO, a big part of natural human fear lies in the unknown. This is why horror movies are usually so dark and bland in the backgrounds. Surreal movies are probably better than the ones that just try to paint your worst nightmare on screen; often, an idea is actually more fear inducing than a manifestation. Some of the scariest movies don't have any real villains or serial killers and whatnot.
As for zombie movies, I have yet to see a really scary one. Resident Evil, Dawn Of The Dead, 28 Days Later (which is technically just about ape-crazy humans), I Am Legend (which is technically about vampires); these are all just sci-fi/action movies with the undead involved.