It is certainly easier to be frightened when one believes in the boogyman than when one does not.
If you want to watch something frightening, you could try Salò, or the 120 Days of Sodom. It is not supernatural at all.
For maximum effect, try to learn as little about the film as possible before seeing it. The more you know, the more braced you are for it.
And yes, I have noticed that since I have grown up and no longer believe in religious twaddle, fewer things are frightening.
If you want to watch something frightening, you could try Salò, or the 120 Days of Sodom. It is not supernatural at all.
For maximum effect, try to learn as little about the film as possible before seeing it. The more you know, the more braced you are for it.
And yes, I have noticed that since I have grown up and no longer believe in religious twaddle, fewer things are frightening.
"A wise man ... proportions his belief to the evidence."
— David Hume, An Enquiry Concerning Human Understanding, Section X, Part I.