Not scary? I guess that depends on your definition of scary. It made me very, very uncomfortable at times, that for me is enough to warrant it's "horror" tag.
Agree with the rest though, magnificent film. Is it your first foray into Spanish cinema? Let me recommend The Devils Backbone, Amores Perros, REC, Celda 211 and of course Pans Labyrinth if it is. If not, you've probably seen all of them in which case, ignore me.
Some great suggestions there, for Spanish language I'll just throw in The Maid, Volver, Sin Nombre, Bad Education, Satanás, Y Tu Mamá También, The Sea Inside and Maria full of Grace.
And of course, everyone should watch Secret in their eyes, which is easily one of the best movies ever made (imo of course)