This is so true, even when it comes to movies and TV shows today. I find the best horror, for me, is psychological. Like you say, it's best when the threat is unknown and supernatural in a story. That's why I loved The Shining by Stephen King so much. Really had me jumpy and freaked out :)

Since I've seen the movie for The Woman in Black and The Haunting of Hill House TV series, I'm sure I'll love their books too. Great recommendations!