Now, that's a genre you don't hear a lot about: children's horror. Especially when we're talking about younger children. Youth horror typically consists of a funny picture book about a monster learning to tie his shoes or a mysterious "thump" in the night that turns out to be a puppy. But here are some good examples of books that really try to make "children's horror" a respectable genre.
Neil Gaiman really respects his younger readers. He doesn't pull punches just because the audience for a certain book is going to be read by kids. In fact, The Graveyard Book is a huge hit among adults and teens as well. It's just a really well-written book that is readable by kids who are starting to move into chapter books. And the first line is, "There was a hand in the darkness, and it held a knife." You just know that's gonna be good.
I wasn't allowed to read Goosebumps as a kid, but a lot of my friends did, and they said they were really scary. I've picked up a few at library sales and yard sales here and there over the years, and they were right; they are pretty scary. And there's so many of them in the series, there's something to scare everyone (clowns, dolls, ghosts, werewolves, zombies, mummies...)
Roald Dahl, I think, is not given enough credit for being terrifying. He had a way of describing things that made them scary enough that you didn't want to keep reading, but fascinating enough that you had to. Personally, I think The Witches was the best example, but the Vermicious Knids from Charlie and the Great Glass Elevator were so compelling, I would pull that book off the shelf and flip straight to their scenes for an adrenaline rush.
I've never read The Tailypo but I have it on good authority (Goodreads reviews, anyway) that it's the kind of picture book that scares you and then sticks with you. (That's how Slenderman is for me. Crops up when you least expect - and least want - it to.)
When the Tripods Came is one that stuck with me. I read it to take one of those Accelerated Reader tests, and then I wound up reading the series because it was fascinating. (I didn't know at age 11 that it was like War of the Worlds with a few key changes.) I'm pretty sure it was my first invasion book, and I'm also pretty sure I had vivid abduction dreams for a few weeks after I finished it.
What books scared you as a kid? Do you still think they're scary?