I have seen probably about over 100 anime series. None of them are really scary at all. You'll get a few gruesome ones, but thats all there is to it. This new one I'm watching is actually a pretty good thriller. Many dead bodies and spirits. Its on my list of top 3 scariest animes.
It has good reviews too.
Umineko no Naku Koro ni (TV) - Anime News Network