To be honest, it's pretty scary. It wouldn't be scary to veteran horror-movie buffs, but average people would find it at least a bit scary.
It's mostly scary in an atmospheric sort of way though, not in a "jump out and get you" sort of way. It has a creepy and sinister "vibe" with creepy, dark imagery.
It's not a horror show though. It doesn't set out to scare you on purpose, so don't expect it to be like a horror movie. Also, the dark imagery is only a couple of minutes per episode, so that might not be so bad for you.