I think it depends. Sometimes books have scared me witless, more than a film could, but its the same vise versa.
In a film its a more tangible image, but sometimes (I don't read very many scary books, or watch many scary films cause Im a pansy) when its a book you are left with your mind and they image can kind of grow and get out of control. I'm not sure if I'm even making much sense to myself here.
Re the Red Wedding - it completely shocked me in the book - and I much preferred it in the book. But I'm not sure if that's because with the tv show I knew what was going to happen (as PIB said). But I feel in the book there was more tension...maybe.