A scary movie would probably be ok unless you really tend to freak out during them (hyperventilate, become hysterical, pass out, etc). I wouldn't do something like a haunted house or things like that pregnant because I would be afraid that my body would go into fight or flight mode and that can technically be a bit dangerous during pregnancy for some people.
On another note, I can't even watch the trailer for Sinister when it comes on TV without it freaking me out!! I love scary movies, but that one just seems tooooo freaky for me. ::shudder::
I don't think a movie would be bad enough to send you into labor...I guess it just depends how scared you get while watching it. I would think it would have to be like heart racing, traumatic, flat out SCARED out of nowhere type thing, not just a movie...but I wouldn't really know...so good luck! :)