I don't like horror stories, honestly. I did write one, though, based on a dream I had. It wasn't anthro, but alien. Anyway, I found that my regular readers couldn't read it because they got scared.
I think the thing about the story that scared them (I didn't ask, but it WAS my dream, you know-- nightmare, rather) was that it was totally implausibly plausible. A lot of suspense was built up, and they also got to really KNOW the victim. I think really making your victim/hero(ine) live in their minds can pique the fear factor pretty strongly.
I detailed not only the victim's feelings and her transformation over time (well, the heroine who's being pursued, I should say, but that's too long to type every time). I also detailed the antagonist's mental and emotional transformation over time.
Furthermore, I think that creating a situation where the reader, on the one hand, can't relate to the antagonist at all... but can totally understand them and anticipate a certain ruthlessnes... this also can drive their fear into fever peaks.
There's benefit in creating a situation where they think they know what's going to happen, but something else does, too, IMO.
I wish that I could honestly tell you that I'd read it, but the truth of the matter is that I'm pretty easy to scare, and I don't like being scared, lol.
However, I think it's important to note that there's a fair horror following out there. Additionally, sometimes it's great to write a story just for the sake of the story itself. Like my horror story, I didn't really expect it to get read much... it was more to give the story life and get it out of my head than anything.
(Erm, hope that answered a question or two, and/or was helpful)