Here's another vote for reading horror and also reading about horror. Read stories, watch movies, take note of what scares you in those books, stories and movies. Think about the what and why. Then go back, with optional how-to reference texts, and figure out what the authors did that succeeded in giving you a fright, thrill, chill, whatever. The goal, imo, is to figure out what kind of effect you want to achieve and learn it by experiencing it.
I'm like Thothguard in that I'm pretty hard to scare. I've literally spent my whole reading life reading horror (among other things, of course), so I'm kinda used to it. When something comes along that actually scares me, I glom onto it with delight to figure out exactly what the creator did. I also study horror that fails to scare me, especially if it has a rep as being scary with a lot of other people. I want to see what the creator did that didn't work for me.
Which brings me to something this thread reminds me of. Yesterday I watched "The Bad and the Beautiful" for the first time. 1952 Vincent Minelli movie with Lana Turner, Kirk Douglas, just about everyone else in Hollywood, a drama about an unscrupulous movie producer. Excellent movie, not horror. But early in the MC's story, he starts out producing low-budget B horror and action movies on a studio contract (meaning he didn't get to pick his own projects). He has an epiphany when struggling with the incredibly stinky assignment of "Duel of the Cat-Men." Talking/complaining about it with his director friend, he realized that nobody was going to be scared by extras in cat costumes. So what then are people afraid of? Answer: The dark. People are afraid of what's out there in the dark. They're afraid of being unprepared, exposed, lost, etc. He realized they didn't need to show the Cat-Men. They only needed the growling in the dark, the bird found torn to death, the little girl lost in the woods, reflective eyes glowing from the shadows. By the time the dude in the cat pajamas hit the screen, the audience would already be scared enough. (Be careful of this, though. Too cheap a reveal will anger a willing audience. I'm still not over a certain giant space spider. I mean, seriously? A spider??)
So if you ask how do we scare readers, my personal view is that the set-up is all important. In horror, the set-up is at least as valuable as the reveal, probably more so. A dead body is a just a dead body. A dead body properly presented is a reality-breaking horror.