In a 'the thing scary storues story', the fear might come from the lack of control. If 'the thing' is unpredictable and has the power to harm the characters in the story, that creates a sense of dread. Maybe 'the thing' can change forms or has some sort of supernatural ability. The characters' helplessness against 'the thing' and their struggle to survive or escape from it is what makes the story truly scary. Also, the use of vivid descriptions of 'the thing' and the terrifying situations it creates can intensify the scariness.
The setting could play a role. For example, if the story is set in a dark, isolated place like an old cemetery or an abandoned building. And if 'the thing' is related to this spooky setting, like a ghost that haunts the cemetery, it makes the story scarier. Also, the way the events unfold in the story, like sudden noises or strange apparitions related to 'the thing', can send shivers down your spine.
If 'the thing' is some sort of monster or evil entity in the story, that would be a big factor. The idea of something dangerous and unknown is often scary.