docuhorror
It's a relatively new style of horror that emerged with an anthology called Reality Check: An Anthology Of Horror. It's part horror story part documentary (the narration is used as an unspoken narrator, the video camera, TV camera, or portable vid camera.)
The Blair Witch Project is a good example of the docuhorror sub-genre. This kind of horror makes one think. It makes it scary because it would have a real time effect.