About being scared, I find it has to do with immersion. If I'm not immersed in whatever movie or game, I can't feel that kind of primal response.
For instance, I can't get scared playing an isometric game of any kind - as I don't feel part of the world.
Another factor is empathy for the characters involved, which is particularly relevant for movies. If I can't put myself in their place, it's hard to be scared or emotionally involved.
Sure, you can feel a shock or a cheap thrill - but that's not what I'm looking for in a good horror experience.
Some movies excel at establishing a particular ambience and mood, and Alien is definitely among the best of the bunch. It's also a slow burn movie - which really lets the watcher settle into it before setting the beast upon him.
I wouldn't call Aliens a horror movie. That's more of an action thriller. But I find the writing to be strong and the characters compelling and plausible. So, I can easily put myself in their place and feel very tense as I witness the hell they're going through.
Another great example is The Thing from 1982, which also takes its time to build the characters - and really show the audience what kind of psychology is involved in such a horrific and tense situation. I will never forget that "blood test" scene, and how I might as well have been in the same room with those guys. It was that well set up.
As for "it's not real" - that's kinda irrelevant. I mean, we're watching movies and playing games here. We're spending countless hours with them. Personally, I can't imagine doing that if I don't get something back - and I assume that even if you're not scared, you involve yourself on some level. As such, you've already set aside the unreality and let yourself be immersed.
It's really the same thing with horror - and I don't know why some people don't achieve that response.
It's quite a unique sensation to be so tense and so emotionally entangled in a fantasy. I love it and I feel bad for people who don't get to experience it.
That said, it's also something that requires a very specific approach and surplus of mental energy. I can't just sit down and play a horror game like Alien Isolation unless I'm prepared and the circumstances are right.
It needs to be dark around me, and I need to be able to focus on it entirely. It wouldn't work at all in daylight with other people being around. That would ruin everything.
So, it could be something that's hard to play in the right way, if you don't have that opportunity very often.