Yeah, I completely agree. In my opinion though, Bloody Mary wasn't scary, I just simply didn't find it that scary. Like all of you have said, they have had the capability of being scary, just that they haven't gone the extra mile. Now I'm the one feeling like a broken record... but yeah... they need to get into the mind of the viewer and think, what would scare them? I can think up the fear of liking something awful, might not be the best fear though. Of course the fear that involves tragedy probably is the strongest... and awkwards sensations. Like as I wrote the short story in my topic "The Beginning of a Case" I couldn't help but think of adding more to the pianist, and what I thought was horrid and just (if they added the haunted piano legend) what would make the show scary.
(Note: This is just going to be somewhat of a story, so you can just skip this if you want to)
Imagine a family who had just gotten a piano, they are happy, and they are oblivious to the fact that its haunted. They gather around the piano and play melodies and have a wonderful time together, they have never felt closer. Then one day the family goes out, umm... shopping? well... anyhow... they look at the piano as they leave and as they leave the great times that they've had with it return to them, they love the piano dearly. "Let's go", the father says to his son, "Forget your keys, hun?", the wife says "Right". He grabs the keys, and looks at the piano, and they leave. The car door closes, and as that happens a soft sweet melody starts to play (abruptly, out of no where), one that is sad or joyful depending on one's mood (hard to think of, huh?). It is night time or at least somewhat dark (not entirely dark, during that time of day when everything's a cold bluish color, exactly the color of the day when it's about to rain), the soft sweet melody plays, and as the reader you can feel the great memories you've had over the years, the memories with your family and friends. Of course, you have to ask, who is playing that music? slowly a mysterious fog starts to form on the bottom of the room... the floor basically, and it's makes its way across the bottom floor until it covers the area (not the second floor as it can't go upstairs).
Now I know I'm mixing two worlds here, the real world and the fake world (by stating the "reader")... but... as the reader, imagine walking across the house, strolling... being lured by the music and also by the curiousity as to who is playing it, yet you feel frightened because of the fog, and thus you walk to where the piano is with reluctance. The fact that no one else is there yet the fact that music is playing adds to that suspense. Frightened, yet curious, you move closer to the living room, where the piano is. You walk across a hall... the fear inside of you rising, heart racing. Then, your somewhere near the piano, you look to your right, as that's where the music is coming from, and there... through that opening in the wall (as living rooms don't have doors) you see a figure in a coat playing a piano, the piano. You're petrified in place, you don't want to go on, but your curiousity says, "go, go, figure who he is... what he is" and so in small, unsteady steps you start walking toward him, it. Realizing your there, he stops playing, you freeze, and he looks up in your direction, and when you look at his face your heart gets that chill of fear. He just stares at you... at least that's what he would do, but his eyes are sewed shut, and so is his mouth. Marks of blood left all over his face (blood that has slowly dried into marks), specifically from below his eyes (as if he cried blood), his mouth, and where his ears used to be. Then, with those sewn-shut lips, he smiles, and still looking at your direction, still smiling, he begins playing once more, as if nothing had just occured. The fog still surrounding the floor you are on. The piano that the family likes. The piano with blood, the blood from his hands, blood from the disjointed hands. The soft sweet melody, is it really soft and sweet now?
(End of Story)
Now, I would probably add to that but this isn't the place to do so... and sorry for making it long, didn't mean too... just got to absorbed into it, this is something I would like to see in the show... unlikely but at least something somewhat similar to this. Anyhow yeah, they just need to be in there... let themselves be absorbed into the story, and try to describe the feelings in an accurate way. Honestly, none of the episodes so far have scared me(excluding perhaps the Pilot as I didn't really fully watch that, from what I saw it wasn't that scary though). I guess... you could say it needs more suspense, not just a creepy setting but a suspensful one too. More close-ups... like they could've zoomed-in in Bloody Mary to at least let you see her empty eyeball sockets.
Quite honestly though, it did freak me, in Scarecrow, the scene where Dean gets on the ladder and takes a look at the scarecrow, and then commercial break. Even though, when commercials were over, I hated the fact that he is no longer near the scarecrow anymore, they could've added to that scene. Another thing I don't like are the jerky, quick moments of doors closing and stuff... for some reason it annoys me, if it went smoother it might be scarier as it would feel more natural. Of course, I'm not saying that I hate Supernatural, just that, it could be better.