No, not really, which is probably one of the reasons why I don't care much for the genre. I mean, I'm not immune to jump scares and some scenes can make me feel disgusted, but I don't think I've ever been truly scared or terrified by a game. But my sample size is also rather small, so who knows, maybe there are some games out there that cater to my fears and phobias. However, I do enjoy a horror game/book/movie if horror isn't the only thing that defines it and it's otherwise well made.
As for the one life, limited saves etc. then I'm not a fan of that. I personally have never played a game where permadeath or limited save slots have somehow improved my playing experience. Besides, you can actually play every game this way, simply don't save. Multiple saves are also useful in case a save file gets corrupted or the game is full of bugs or unwinnable by design.