What makes a truly excellent *scary* movie?? (not gory!)?

I have yet to really see any decent scary stuff....you know, the kind like "Psycho" where you are afraid to shower for weeks, or like "The Exorcist" where you made sure your was in church every week after that (and you slept with the lights on?). All the newer movies are either way gory, or just plain gross and the scare factor is not even present. What's a really good way to make one??