In order to determine which is the most scary we must first determine whether these media can be described as scary at all. I have made up my mind (just in case you haven't already guessed) and will present my case as follows.
Movies tend to shock you; they use quick and sudden 'scares', designed to make you jump. They don't 'scare' you they surprise you. But most importantly of all they inadvertently do what books don't do as much - they create dramatic irony for the audience.
As any horror movie director will tell you it is nigh on impossible to scare someone if the atmosphere is all wrong but when you build up an atmosphere in a movie it is often easy to see, it's not subtle enough. You may not actively notice it, but all the typical factors contribute to create a general awareness that something bad is going to happen. The brain processes all this information and gears up the 'fight/flight' response ready for the inevitable trouble. But all this can be overridden or put aside in favour of another type of fear - sympathetic fear. If the atmosphere builds up, people can notice it and might realise something bad will happen, an example of dramatic irony. They may steel themselves for whatever ghost or ghoul is about to jump out of that clump of convenient vegetation but they will automatically start thinking on behalf of the characters - the 'fight/flight' response is either put aside and anxiety replaces it or if the moment is sufficiently empathetic, reinforce it. A similar reaction has said to have been observed in people who are 'afraid' of mice.
Oh dear, I've completely deviated from the subject
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Anyway, books are generally much better than movies for scariness because, as pointed out in previous posts, the mind plays a significant part in constructing the story. This is important because the mind likes to exaggerate. An exaggerated impression is what generates an almost continuous atmosphere of subtle worry, doubt and apprehension. The 'fight/flight' reaction seen in films is not present in a book because the senses are not involved. Because of this the experience is interpreted in the brain itself - a crucial point because horror authors are deprived of the "easy way out" and are forced to create that constant atmosphere I mentioned earlier. Failure to do so can result in a rather pedestrian narrative or a thriller at best but not a horror story. Another peculiar thing our minds do is make rather irrelevant connections, some that we are not aware of, thus when reading the brain may attempt to find a parallel within our own memories. The result can be predictably eerie.
Just looking over this - what a load of ramble. If you've read all the way down here, well done.
If you just skipped to the bottom, I'll give you a summary: Scary books are better than scary movies.