I think people have a tendency to either be "horrified" by physical things or by psychological things.
Overall, I think the psychological horrors go deeper and are genuinely more terrible, which is why many films tend to focus on the visceral and physical aspects. It makes for better entertainment. That's why rollercoasters tend to be fun. They push what most of experience on a daily basis to a further extreme and yet they do it in a way that is controlled so as to reduce actual potential for harm.
And just for the record, I like "The Evil Dead."