Thank you for the interesting question! I'll preface this by stating that I focus on the 12th Century in England and France.

Lots of chroniclers included anecdotes that contain supernatural elements, some of which are similar to stories we tell now. However, these were largely reported as prophetical or symbolic rather than for entertainment or to scare the audience for fun. Largely, we are not told the motives by individual authors for including this kind of content in their work. Some include this type of material under the assumption that these things definitely could have happened, while others merely report these stories as a story that is told by others. I don't want to be misleading by saying that Medieval writers had a specific "horror" genre with the specific intent of creating fiction that was meant to thrill or scare the audience, but there are definitely elements that would be familiar today. That being said, there is a great deal we don't know about oral culture, and it would be interesting to know what kind of 'campfire stories' there were.

The most common, which you see across a wide variety of texts, are weather or environment-related events. I.E. eclipses, comets, famines, plagues, unusual/extreme weather (my personal favourite being rains of blood). These were most commonly interpreted as being signs of God's displeasure with a certain region/group/person, or a warning of forthcoming doom. Astronomical events are a particular favourite, for example:

"For on that very day the sun, at the sixth hour, covered its shining head with gloomy rust, as the poets are wont to say, agitating men's minds by its eclipse; and on the following Friday at dawn the earth quaked so terribly that it seemed to sink to the depths, and a dreadful noise was heard under the earth before this. In the eclipse I myself saw stars round the sun, and in the earthquake the wall of the house in which I sat I saw lifted up by two shocks and settling down at a third."

- Historia Novella, William of Malmesbury.

The eclipse is later interpreted, and interpreted by other writers (in the 1130's - 1140's) as an omen that King Henry I was going to die, leading to the conflict between King Stephen and Empress Matilda, known as The Anarchy. (This particular eclipse occurred on 2 August 1133 and is one of the best-documented historical eclipses, fun fact).

Another common feature of medieval 'horror' is monster stories. There are endless books written about medieval monsters, from dragons to cow-stag hybrids. These appear in a variety of primary sources as well. There are the stories we are more familiar with today, such as St. George and the Dragon, and similar feats of knights slaying beasts, but there are more heroic literature.

There are examples of monsters that are familiar in our 'classic' horror genre. While the vampire as we know it really developed in the 18th and 19th centuries, there are similar stories in medieval sources. An example of 'vampire' literature can be found HERE. There is some debate over exactly how these people are meant to be interpreted (vampires, revenants or witches), and I should point out that there is no explicit reference to drinking blood. This same entry in William of Newburgh's History of English Affairs also includes two stories about unusual findings in quarries. The preceding entry is also about an occurrence in which two green-coloured children were found and taken in by a local family. This is not horror per-se, but is in a similar vein of unexplained and supernatural events, so may be of interest. I generally highly recommend William of Newburgh, as in addition to his accounts of supernatural occurrences, he has a lot of interesting, often-funny commentary about the times he lived in.

Werewolves, or men whose form shifted between a man and a wolf or man-wolf hybrid, were more common. Gerald of Wales wrote about werewolves in his History and Topography of Ireland. Gerald relates that a priest came upon a talking wolf while travelling, and that the wolf said that he and a companion were compelled to live in exile as wolves on account of a particular Saints wishes for a span of seven years, at the end of which, two others from their community take their place. The wolf then tells the priest that his companion is dying and in need of absolution. The priest prays with the dying wolf, and gives her communion, at which point he is able to help her transform into an old woman, which is described by Gerald as peeling the skin of her wolf-form off. The priest then spends the night talking with the he-wolf before resuming his travels.

A werewolf is also the title character of Marie de France's lay Bisclavret. Marie claims that most of her tales are common folktales from Brittany, and in some cases this can be verified. A later version of Bisclavret appears as one of King Arthur's knights. The story itself is about a baron who is compelled to spend part of his days as a wolf. He initially keeps this a secret from his wife, but later admits it to her. He tells her that once he serves his time as a wolf, he can turn back into a man by finding his human clothing. However, she rejects him, and while he is in wolf-form, has a knight steal her husbands clothing, so he is cursed to remain as a wolf. The wife marries the knight. Later, the King is hunting in the forest and happens upon Bisclavret. The King and his court are amused to see such a tame wolf, and the King takes him as a pet. At the King's court, the wolf sees the Knight who is married to his wife and attacks him, leading the King to become suspicious. The King takes Bisclavret back to his old home to see his wife, at which point Bisclavret attacks his former wife, tearing off her nose. This prompts the wife to reveal what she has done, and return the clothes to Bisclavret, returning him to human form. Modern interpretation of this story is that this is meant as a moralistic story about the nature of mankind, and ones ability to rise above baser, animalistic natures. Again, I highly recommend Marie de France as an example of High Medieval literature. Her stories are often funny, and her social commentary often still holds up.

I hope this helps. I know most of these are not scary or horrifying the way the horror genre is today, but there are some parallels at least in content. It's difficult to look through this type of literature to determine whether a contemporary audience would have seen it as scary or frightening, or if that was the intent of the author. However, at least in terms of content, we do see some similarities.

I'm still waiting to read a chronicle about a group of teens out at a lakehouse though. "This messenger came from inside the house."

Sorry for the long post!