A vital part of the horror genre is in the atmosphere and setting; they are usually in dark places that feel isolated (there's usually something ominous introduced early on, for example an abandoned house). Most of the scary scenes are set very late at night to create an atmosphere shrouded in mystery. Darkness also makes it easier to put jump scares, which are a common feature in the horror genre. What gives horror movies more depth is the history and background of the setting and the killer (or the supernatural).
Generally, there are themes of the supernatural (usually involving ghosts or zombies) as well as themes of violence and blood and gore, as there is usually a killer (which happens to have some connection to whatever is supernatural in the movie).
Alongside the protagonist and antagonist (i.e. the killer), there are staple characters most horror movies tend to have. One of these is usually a helpless female victim, who is usually blonde and will be one of the first (if not the first) killed. She usually seems to disregard anything ominous that viewers will pick up on and try to run from the killer, only to trip and become a victim.
A common twist in horror is that the killer was someone who was always close to the protagonist throughout the whole movie.
