Upon reading a 'scary' story, I find myself automatically looking for whatever twist that I assume the story is trying to bring across. I know it's there somewhere, waiting to try and get me, to make me feel unsafe and vulnerable.
Now of course after reading many stories, it gets rather obvious when it's coming.
So after a while it doesn't affect me, until I have to read some other story with a different approach.
A particular favorite approach of mine is that of a story that is obviously leading up to some dramatic twist, that which is hoping to send shivers down your spine and make you quiver in your seat, but rather leaves you only to find that in the end, there is no twist.
I find myself thinking: "What? Where is the answer? Where is the predictable explanation for the suspenseful and yet dragging story leading up this part?"
At this point I feel somewhat uncomfortable, and slightly creeped out.
It was also at this point that I realized this was exactly the thrill I was looking for.
No explanation, no proper ending, just the idea of what could be, left lingering in my mind, searching for some sort of answer I knew I would not find.
Of course, knowing that a story of this sort ends in such a fashion will ruin the entirety of it, so rather than giving an example, or sharing a link to one that I know, I shall define what it would feel like to read one the best I can.
It is almost like reading a particularly good story, that has captured your interest quite deeply, and you are eager to read the rest. It is, however, at the peak of your interest, that you are, for some reason, forced to stop reading.
Now it is not exactly like this, but this is the closest I can explain without actually displaying a story on here.
For the best stories, including those described in this post and elsewhere, I recommend visiting: Creepypasta