I agree with Gooseheaded, to a point. The best horror is done that way; not telling you everything. It taps into fear of the unknown, which in my opinion is the best (and for "best" read "only good") kind of horror.
There is another kind of horror; the cheap scares that merely aim to shock. "BOO! I SCARED YOU!" moments and all gratuitous-gore-for-the-sake-of-it "horror" flicks (like that abysmally crappy House of Wax remake where Paris Hilton gets a sword through her skull - and the fact that even that wasn't enough to save it should tell you just how much it sucked) both fall into this category.
There is another kind of horror; the cheap scares that merely aim to shock. "BOO! I SCARED YOU!" moments and all gratuitous-gore-for-the-sake-of-it "horror" flicks (like that abysmally crappy House of Wax remake where Paris Hilton gets a sword through her skull - and the fact that even that wasn't enough to save it should tell you just how much it sucked) both fall into this category.