@deathgorath444: Sadako (the ghost girl from the Japanese version of "The Ring") is the only really popular one that I know of. Aside from that it's like @ms__omega said. They use more "traditional" ghosts and monsters.
American horror icons are also well known there. I've seen at least a handful of obvious references to Jason in anime. In GTO for example, Onizuka arm-wrestles a Jason lookalike.
I have mixed feelings about him. On the one hand I agree with @strider92 but by the same token I know that Captain America is supposed to be more than that. He's supposed to transcend his nationality but the name, the colors and the big A on his forehead really distract from that.