I don't know for sure, but my guess is that the brain eating zombies are so outlandish that you don't have any real fear or belief that they will come and get you. Maybe some of the supernatural and slasher stuff is just close enough to reality, your perceived reality, and/or stories you've heard to scare you into believing you could be harmed in some way. Just a guess!
I like to think that I'm logical and a bit of a skeptic these days, not believing in anything supernatural. I have my own triggers to being freaked out, though...
When I was a little girl, the internet was called "the Public Library." I would go there, and I went through a mysteries-of-the-unexplained period; aliens were a favorite subcategory. I read all kinds of books about UFOs and alien sightings. I even read the Whitley Strieber book Communion, his account of a series of abductions by "visitors." Even as a seventh grader, I took this book with a grain of salt reading it as a novel though he put it forth as non-fiction. It was still probably not appropriate reading for my age group (as weren't the Stephen King novels I was reading, but I digress).
Anyway, about a year ago, I was flipping around my on demand movies, and saw that The Fourth Kind was available. I watched the trailer, and it scared me shitless. No way was I going to watch that--I think I watched some comedy instead. In the wee hours, I woke up to a really volatile storm raging outside. When lightening flashed, there was this green glow around my window blinds. I got up ready to look outside, knowing--KNOWING, say I--that there were going to be fucking aliens out there.
Spoiler alert: there were not aliens out there. Next morning, I realized that my girlhood search for the strange--plus that movie trailer--had really pushed my buttons.
Others I know have different buttons and triggers, and it can be due to religions leanings. For example, a friend of mine who is Roman Catholic (and about 6 feet 4 inches tall and a gay man--I don't know why this adds to the humor, but it does for me) told me about a time when he and another friend of the same faith decided to watch The Exorcist late at night. They were so freaked out that in order to go to the kitchen to get snacks mid-way, they felt that they must drape themselves in blankets like ghosts and put their rosaries on top of their already covered heads. His friend in this story is female and short-ish. The image of two ghosts, one tall and one short, wearing rosary headbands just kills me. My guess is that they were shrieking all the way to the kitchen and back to the couch, too.
Anywho, he is bothered by other spiritual movies with a Catholic flair, and I think it's because he sort of believes some of the content.
Just this morning, I read one of my favorite blogs, To Try a New Sword on a Chance Wayfarer, and the author had linked to a really fascinating article on why we are drawn to and disturbed by horror. That article is here. It deals with primal instincts we have, various theories about psychological development, and gender roles.
Hooray! This was my first bonafide Formspring question, as all of the others I have answered have been the daily ones or the automatically generated ones. Thanks, asker! (I think I know who you are, as I believe we texted back and forth about this. You know the tall gay ghost with the rosary on his head, btw).