While most, if not all, horror movies include a fair amount of fiction to make the story more gory and gruesome, often times the inspiration for these classic horror movies are based on true stories. The actual events in a lot of cases are legends or not nearly as scary as the theatrical version, but every so often the true events are scarier than anything someone could think up for shock value.
Some of the very best horror movies of all time are based on actual events. Take Psycho, The Texas Chainsaw Massacre, and Silence of the Lambs, for example, three of the scariest horror movies of all time are based on the horrible killings of a single man, Ed Gein. Independently, the three films tell horrifying tales of mass murder, torture, and cannibalism, but put them all together and you get a look at serial killer Ed Gein.
Of course, in many cases, the fiction is a stretch on the actual facts such as in the haunted house horror films. In The Amityville Horror, The Haunting in Connecticut, and The Entity, families were haunted by demons in their own homes. In reality, investigators dispute many of these claims, and many have been declared straight up hoaxes.
Good luck trying to verify realistic claims of demon possession, which is another theme in some of the most well-known horror movies as well, including The Exorcist, Audrey Rose, and The Exorcism of Emily Rose, as those stories visit a gray area between paranormal and simple mental illness.
However these filmmakers were inspired, either by gruesome true events or a simple unverified claim, these horror movies all accomplish what they attempt to do: scare the crap out of us on a daily basis. For that, mission accomplished.