Now, I'm not talking about the movie Urban Legends, which is kind of goofy but fun. I'm talking about actual urban legends and why they scare us. The reason they are urban is because they take place in modern, familiar settings. There are suburban legends and folk tales assigned to the countryside but there is something uniquely unsettling about the urban legend.
Usually framed as "this totally happened to my cousin's nephew's best friend's dad" which is the modern way of creating those Russian nesting doll beginnings to old horror stories ("I write in my journal about an encounter i had with Johnson who had just seen Billings, who told him this amazing story.") There is a distance built in but also a chain of custody that could be tracked and verified if anyone cared to do so.
The other familiarity is in the setting. There is the old story of the motorist being almost run off the road by another car only to find the car was trying to warn them of a deadly killer hiding in the back seat. Remote rural settings don't lend themselves to that kind of action. Likewise, in the tale with the hook on the door, the danger comes from leaving the safe city and going parking in the dangerous woods.
Like I will one day argue about the recent movie The Witch, all these legends and folk tales are meant to keep people in line. Be open to the warnings of strangers, don't move outside the safe zone or, in example of the phone call coming from inside the house, take your responsibilities seriously to the point of paranoia.
Since 2007, Cracked has been doing a series on true urban legends that is worth reading. To see how some of the most basic fears and folklore can arise from real incidents is fascinating to me.