Honestly, I can't choose because I love Resident Evil, Silent Hill, any horror game Markiplier has played etc, etc. BUT, there is also a bunch of awesome horror movies like the Child's Play franchise or Terrifier, Trick R Treat. I CAN'T CHOOSE!!!
I find horror games to be a bit more terrifying than horror movies due to the involvement of the player. Horror games are also more likely to have active fanbases online, which leads to more theories/content based around them.
However, horror movies usually have more accessible merch! Movies reach a wider audience too, so I'm more likely to have an in-depth conversation about a horror movie rather than a video game when I meet someone.
Horror games are more immersive than a horror movie. I cannot play a horror game because I am get scaredy cat. That is why I watch youtubers play horror games instead.
I remember watching horror movies when I was younger and it is rare that I watch horror movies nowadays. The main reason is that none of them appeal to me. I am a fan of psychological horror. I remember watching a Japanese movie on Netflix about a serial killer father finding out that his daughter is dating a serial killer. He tries to save his daughter from getting murdered. That movie changed me as a person. I do not remember the name of it but I will try to find out.
That being said, if I had to pick between the two, I will say horror movies.