I can watch the scariest movie without so much as a shiver, but get me in front of a horror game and I become a complete wreck. I played the original Resident Evil once, and almost shit my pants when the dogs burst through the windows.
Thats funny because im the other way around. I cant stand to watch something like Firday the 13th. But i can play all the Horror games i want and it dosnt bug me that much. Even tho there where a few times i jump while playing Resident Evil.
EDIT: Oh and horror comics dont bother me that much either. Blade is one of my favorites. But for some reason i cant sit through something like Hellrasier.
It probably doesn't need saying, but the reason some survival horror games freak me out is that there is a real threat of death. You can actually be hurt, your existence can be stopped. So when things come at you, you have reason to be scared. A movie can't kill you.
That being said, I'm more of a fan of the psychological survival horror. Namely Silent Hill 2. I love it so much, but I hate to play it. It answers just enough questions to force you to create a lot of your own answers, and the result is creepy as hell.