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The reason is twofold, on the one hand the reasons listed above simply obscure the scariness and on the other the fright is a philosophical one and thus requires a modicum of consideration for its effect. Take the ending, for example, which is remembered for its novelty. We thought that Francis was relating a terrible tale to the man sitting next to him, a tale in which Francis was pursuing a strange doctor, Dr. Caligari, who was using a somnambulist to carry out murders. We discover, though, that Francis is a patient at the asylum in his own story, and that the characters from his story are the people at the asylum. This is of course a surprise, but why is it significant? Perhaps because he is crazy. Well, so what if he is crazy? Why is that significant?
It is significant because it asks the following question: how terrifying would it be to become divorced from reality, to be trapped in a world you cannot understand? How could you live without being able to say what anything is with the slightest bit of certainty? Also, consider the final scene of the inmates in the courtyard: how horrible would it be if we all entertained competing versions of reality, with Princess Jane, Cesare with his flowers, and Francis with his murder conspiracy? With everyone's whims vying for dominance, it would be a nightmare.
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