After the sixth page, Slender Man becomes much, much more persistent.
Page 6? Try page 4.
Forget the Slender Man. This game will ignite the Primal Fear of the darkness in you.
Combine that with the thunderous noise echoing louder and louder as you get more pages of Alex Krailie's notebook is guaranteed to induce paranoia.
A meta example. This game was scary enough to scare TOM of Toonami. The same TOM who has dealt with giant aliens blobs and insane computer viruses.
On his personal blog, Troy Wagner confessed to having ripped off his headphones in fright while playing Slender. That's right: the guy who helped create one of the cornerstones of the mythos—the very series that inspired the game to begin with and one of the scariest things on the Internet—was frightened by this game.
The fear of what Slender will do to you if he catches you. Some of the notes you get imply that he won't just kill you. He will either rape you or eat you, each sounding equally terrifying. It's even worse when you don't know how true those suggestions are. Either the writers are trying to encourage you to not get caught or they've witnessed/experienced it.
In my opinion, the most scariest place in the game is the Building. He could be right there, when you turn around, look around the corner, or even right in front of you. Somehow....