As a considerable fan of the horror genre (in a variety of different media), I am somewhat regularly disappointed by it as well. This is somewhat a function of the fan dilemma-- the bigger a fan of something you are, the higher your standards with that particular subject, and thus the higher your dissatisfaction-- but is also a function of the inherent structure of horror, especially in cinema.
Simply put, horror in cinema tends to push toward shocking the audience. This is problematic in today's society, specifically because buried deep in the internet lies websites that have more shock value than even the most twisted and deranged filmmakers (and, with this subject matter in mind, "twisted" and "deranged" are not negative descriptions). Simply put, the shock of gore of, say, the Saw franchise, for example, can be not only matched by underground websites that make the 'torture porn' genre seem pale in comparison. This is not a good thing by any stretch-- nor are these websites I could visit, nor recommend-- but it means that the barbed edge of the taboo of violence does not reside in a theater near you, nor a dvd rental shop, and most certainly not hidden amidst the forgotten sections of Netflix.
Sexuality, too-- often a taboo that cinemas attempted to overthrow-- has successfully been overthrown as a taboo. That is, the 'shock' of seeing sexuality in a film (or even, as is often the case, on television shows) holds no power. Of course, films with intense or graphic sexuality (unsimulated sexuality, for example) will still have a modicum of shock value, but ultimately even these have grown mainstream to a certain degree (see: Shortbus and Lie With Me, and the upcoming Lars von Trier film, Nymphomaniac).
The most shocking, and in my opinion the most interesting, of taboos that horror has attempted in the past to break is that of superstition or religion. Films like Candyman or The Exorcist delighted in taking the audience in places that they grew up uncomfortable in-- be it the fear of childish superstitions becoming truth or the possibility of religion having more truth than it is often credited as having. However, in a mostly atheist (or at the very least, secular) society, these films hold little sway...
... or do they? I actually think these are the last type of taboos that still linger, and it is precisely because of our otherwise secular society. Superstitions (and to a certain degree religious thought) are ridiculed as being childish and unscientific. It is perhaps no accident, then, that the films that disregard this critique-- films like Paranormal Activity or the recent The Possession-- do well for themselves. They openly mock-- or at least highly question-- the scientific explanation of reality, and instead of representing the dark side of religion-- which they do-- it is this open disregard for scientific inquiry that becomes taboo.
Of course, it also makes these films extremely traditional in structure. The ghosts creeping the family household is hardly an original idea, and even with The Possession, the only real "update" on the traditional horror structure is the use of a different religion (where most films in the past used Christian exorcisms). However, in a society very focused on updates, and with a high amount of disdain for the past (rightfully or wrongfully so), even this traditionalism is a taboo.
The only taboo left, then, is to NOT attempt to break any taboos. Whether or not this traditionalism can help, ironically, reinvigorate the horror genre-- which is in serious risk of being completely disregarded by the masses as the stuff of bored children-- is hard to say, but it is safe to say that appealing to tradition may be the only real tool filmmakers have left to truly shock an audience.
At least... until filmmakers become more creative in the manner in which they attempt to shock the audience, and discover there are more ways to pull the rug from under the audience than to show penetration (be it by a knife or... well... you know).