It's the sudden twist. In a 'two sentence horror story' like 'The phone rang at midnight. It was my voice on the other end.' The first sentence sets a normal scene, and the second one completely flips it, creating a sense of dread and unease. This element of surprise is what makes it effective. Also, it forces the reader to fill in the gaps with their own worst fears, which makes the horror more personal.
The brevity. It quickly sets a mood and leaves the horror to the reader's imagination. For example, 'I opened the basement door. Something cold grabbed my ankle.' Just two sentences, but it makes you wonder what that cold thing could be.