There was a knock on the door at midnight. When I opened it, a cold wind blew and a voice said, 'Let me in.' I knew it was a ghost. This story gives me chills every time I think about it. It makes you wonder what would have happened if I had let the 'thing' in. And it plays on the fear of the unknown, the idea that there could be something lurking outside, waiting for an invitation to cross the threshold into our safe space. It's simple yet very effective in creating a sense of horror.
One liner scary stories are effective because they create a sense of mystery and unease quickly. They leave a lot to the imagination, which can be scarier than a detailed horror story. For example, 'I saw a face in the window, but I live on the top floor.' makes you wonder how that face got there and what it wants.
The brevity. It hits you fast and leaves your mind to fill in the blanks which often makes it scarier. For example, 'The last person on earth sat alone in a room. Then there was a knock on the door.' It makes you wonder who or what could be knocking when there's no one else supposed to be there.