Games.
At least they have FAR more potential than movies anyway. In games you are actively participating in the 'horror' and are surviving and can make actually make a difference in what you do. As opposed to movies wher you are watching something and hoping that they make it through. With the latter, having no control or input does make it scarier for folks, especially if they 'buy into' what's going on with the characters and setting.
But videogames do need you to 'buy into' it as well, which not everyone will do. You are 'surviving', but you're controlling a character in a space to survive, and if you die, it will just incur the penalty which will likely cost you time or items. So the 'dread' can expand to more than just 'horror' games.
Though I suppose, there may be horror games out there that have you play them and if you 'die', they boot you out and IP lock you, and you're forever dead or something. I doubt much games will want to heavily penalise you like that though, or even something like delete your save after a death. Maybe 'lives' can come back for horror games?
Or they do it Zombi U style, you level up your random character assigned to you and if that character dies, all that experience (and maybe items) dies with them, and you simply get a new one, a bit like rogue-like games. Though ZOmbi U wasn't particularly scary to begin with.