Terrific question! Not quite an easy one to answer, though.

If you look at surveys of "horror fiction" like S. T. Joshi's Unutterable Horror: A History of Supernatural Fiction (2015), the basic elements of what scare people haven't changed a lot in the several thousand years where we have recorded history and literature. Which makes a lot of sense, because people themselves haven't changed much, over all - we're still subject to the same general causes of death (disease, violence, accident, old age, fire!, drowning, starvation, thirst, being stepped on by an elephant at the moment of orgasm, etc.), and pain and death remain the most visceral horrors in literature as well as real life.

What has changed over time is our individual experience of those horrors and how we communicate them. It can be really difficult for somebody today to appreciate the visceral reality of seeing your entire family succumb to the Black Plague or really experience the same sense of absolute certainty at the tortures of hell that a peasant in Europe c.1300 did. We still have the concepts of death by disease or eternal damnation, but the particular lived experience of growing up in a close-knit community where pestilence and hellfire made up considerable parts of your mental and spiritual life are a bit alien to us.

So too, what we think of as "horror fiction" took a little while to gel - there were always stories of ghosts, and elements of horror were absolutely present in many narratives that involved torture, death, supernatural peril, etc. - look at the chronicles of the Crusades, the witch trials, etc. - but in the sense of "shudder literature" as distinct from general fiction, that took some time to distinguish itself, and it really only came into its own in the 18th and 19th century, where it began to acquire specific forms like the Gothic novel, the conte cruel, the traditional English ghost story (as exemplified by M. R. James), etc.

One of the characteristics of horror fiction acquiring more literary status is that it tended to be less explicit in terms of gorey or sexual details. This isn't absolutely the case, and there was plenty of grue and exploitation in popular fiction - "Indian captive narratives" in the United States being a staple of dime novels with details of torture, the Grand Guignol theater in France with its often quite literal buckets of blood, etc. But Gothic novels and the like were often relatively sedate, beginning to suggest horrors and focus on atmosphere as much as bloody bones.

The "weird tale" and horror fiction as genre were more strongly solidified in the early 20th century as it pursued different paths as novels, short stories, theater, and film - the emergence of pulps like Weird Tales (1923-1954) created a market for horror fiction which was emulated by other magazines, and especially in the 1930s there emerged the distinct "Weird Terror" or "Shudder Pulps" - while Weird Tales sometimes skirted censorship laws with nude covers or the subtle hints at necrophilia, incest, or gore, pulps like Horror Stories and Terror Tales avoided the supernatural but doubled down on bloody sadomasochism, torture, and women in peril.

In part, this has to do with the specific censorship situation that existed in the United States at the time: explicit sexuality and microscopic descriptions of bloody violence could both be subject to censorship by official bodies. However, the law was more pliant when it came to "abnormal psychology" and sadomasochism - what we would now call kink, fetishism, or parasexual activities were seen to fall under the domain of medicine and psychology. So such works proliferated, both in horror and erotic fiction - and would eventually migrate to the new medium of comic books in the late 1930s, which would eventually receive blowback in the 1950s with the creation of the Comics Code Authority.

So too, the advent of film allowed many horrors to be visualized and the "lore" of vampires, werewolves, etc. to be "standardized" through films that focused on monsters that were increasingly becoming more familiar. It has to be remembered that the folklore roots of werewolves and vampires do not all share the same strengths and weaknesses as their cinematic counterparts, and films strongly influenced our familiarity with these monsters.

The history of horror in the mid-to-late 20th century is seen with both a vast diversification of horror in different media and forms, and a growing ability by writers and artists to articulate those horrors as explicitly as they wish. It is not that Alien (1979) was the first extraterrestrial horror story - but it was a fresh approach to a large body of work where the popular forms of extraterrestrials became more familiar and correspondingly less horrific than in previous decades. The Xenomorph was no "little green man" or faceless robot on a flying saucer like The Day The Earth Stood Still (1951).

So there's a bit of truth that you can get away with stuff today in this post-splatterpunk, post-bizarro, hardcore horror world. You can be more explicit with sex, violence, drug use, politics, etc. than in the 1930s pulps or the 1890s novels. But it's really more a matter of what horrors we are familiar with and are used to than the people in the past being easier to scare than us. There are shudder stories form the 1930s which are as nasty as anything written today, though the prose itself may be antiquated to contemporary tastes.

That is in large part why a lot of the "classic" horrors of yesteryear seem so sedate - it used to be folks first encountered vampires with Dracula, but nowadays folks might learn about vampires from the Count on Sesame Street or the sparkly pretty vampres of Twilight.