I don't get scared easily, but the first time I saw TDK, I found both times he explained the scars to be quite intense, I was on the edge not knowing what to expect, and the characters were scared because they didn't know what he'd do, not because he looked his face was melting off.
Same for me. I felt those two stories were extremely well done. The first one especially. And then when he goes and gives another, different chilling explanation about how he got them and you realize he probably tells a different demented story every time it really shows how sinister he is.