The unknown. These stories often deal with the unknown and the unexplained. Take 'The Monkey's Paw' for instance. We don't really know how the paw works or where its power comes from. It creates a sense of mystery and fear. Also, they can play on our deepest fears, like death, the dark, and the loss of control. This makes them very appealing.
Well, they are often very good at creating atmosphere. In a short amount of words, they can make you feel like you're in a spooky place. For example, in 'The Yellow Wallpaper', the description of the wallpaper and the room makes you feel claustrophobic and uneasy. And the characters in these stories are often complex and relatable in their fear, which draws us in.