Supernatural horror, when done well, is great. I'm a big fan of stories that use a lapse of logic and physical laws to create a fear of the unknown, like the idea of ghosts, demons, and eldritch horrors...there is zero actual proof and zero scientific evidence supporting their existence, but that's partly why it's so frightening; this thing you know shouldn't exist, but does, is coming after you.
In my case, however, the characters fighting back physically against the threat isn't what intrigues me. What gets me going is the inner conflicts brought about by the outer horror, the way the character attempts to deal with its presence mentally and socially, the way he interacts with it and those around him. Will he lapse into madness to protect his fragile human mind, or will he stand strong against it and force it back?
This struggle, and the often disastrous consequences, is what I love. It's why I love The Thing and its ending, and why I love The Taking of Deborah Logan- that struggle, that attempt to rationalize, is there, but it's vastly overwhelmed and challenged by the threat in front of them, and this bleakness and hopelessness, this terror, is what drives a lot of horror, I think.