I've played it once, but stopped because I was bored of it. Everyone gets really scared, and its funny to watch others scream at it, but I just don't find it scary. Is that weird? Other horror games like amnesia don't scare me either...
I used to be afraid of Slender due to my odd phobia of things with disproportionately long arms, but I've gotten over it. I tried playing the game alone, but it got boring. However, I played with two of my friends who are scaredy cats, and their reactions made it fun.
Now I've played a Slender game on the iPod thats called Slender Rising. It's a really scary game and yet I enjoyed it... Maybe one day I'll be able to play the original Slender game on PC. Maybe at my friends house if I can get around to it.
Edit: I actually played Slender Rising a while ago and after five tries, I wasn't really afraid of him anymore although the sounds still creeped me out.