Much like comedy, horror is often subjective. While those of lesser constitution may still shy away from the totally lame haunted mansion ride at the local fair, horror veterans remain unmoved by all but the most grotesque examples of the genre. That said, there are a few pieces of media out there which absolutely no one finds scary.
Crafting a compelling atmosphere of terror can be a difficult undertaking. If done correctly, a movie, book or game can be so shocking as to be utterly unforgettable. Mess it up, though, and everyone associated with the project will look like a total idiot.
There are, of course, a few movies and games which have blended the realms of horror and comedy to great effect, though they're relatively few and far between. For every one truly frightening experience, there are likely another ten that don't come even close.
Well-done scares capture the imagination, compelling audiences to laugh at their own fear. Bad horror, on the other hand, usually has people laughing for an entirely different reason. The 1990's, for whatever reason, seems to have been a prime time for shlocky horror, particularly in video games...