I will use the example of The Lottery:
The Lottery is the story that uses fear most effectively. One of the reasons why the story is so successful is because of the contrast it creates between peaceful, pretty towns with common citizens and extreme cruelty. In The Lottery, most of the characters you meet are very common, and you can imagine your friend and neighbours being part of the story.
The story is also frightening because it contains elements of horror, such as suspense. The lottery is successful in creating suspense because it foreshadows the events carefully. For example, it does so by showing the box where the ballots are kept. This box is clearly obsolete, but it has a menacing presence and a powerful effect on the audience.
Finally, The Lottery is particularly successful because it shows the lengths that people are willing to go to in order to preserve traditions and respond to social pressure. This is scary because it shows a situation that could easily take place in the real world.