They cant be scary imo, that implies adrenaline. Like Mr. Zer said though, they can inspire dread and disturbance. I didnt find Geralds Game by King very weird but it creeped me out. There was one called The M.D. by an authour I cant remember that probably inspired that Inheritance movie, the one with Piemon.
If you want some cheap thrills go walk through the hood or a forest at night. Bring a flashlight and importantly no weapons for the forest run, Ive done it a few times with one friend in tow, the slightest rustling in the bushes sounds like the reaper coming to collect.