Most recently, the media to scare me most was the Resident Evil VII demo. It's the first thing in a while I've had to put down due to heart palpitations. Why I thought I would just play through the demo again to find the "better ending" I don't know. Dude walking past the door still got to me when I knew it was coming.
Otherwise, I'd say a book full of Edgar Allen Poe poems really got me as a kid.
Scariest moment of my life was last year, for reasons I'm not sure I'd want on a podcast. I can't really think of anything in real life that's really scared me and wasn't incredibly personal. I'll just say I hate small spaces. Claustrophobia/crushing is my biggest real life fear.
Best blend of comedy and horror for me is An American Werewolf in London. That movie had me laughing out loud, especially the abrupt ending.
From the Google Image search results I'm seeing, I'd say Bayonetta 1 is preferable. Her face just looks rounder/cuter.