i think it gets down to "getting in the game". I've seen guys who play it and stay calm and simply concentrate that much to not get scared, i've tried it myself and if u start things like simply ditching the grunt by running past him to a level door he seems quite unscary, but eventually you get unsettling moments (e.g. beeing too stupid to get up a box in the water ^^) also some ppl simply do not want that concentration, they play the game to get scared so the last they would do is trying to expect what is going to happen to develop counter measures from fear.
For myself... i haven't finished a custom story i started (abduction) and i have not finished the real game yet. xD
Let's just say: I'm preserving the fun for a really boring night