Some classics include The Shining, Halloween, Nightmare on Elm Street, The Exorcist, and of course the original vampire movie, Nosferatu! Some recent horror movies that scared me are The Descent (very claustrophobic) and the original Paranormal Activity.
All of the "Aliens" series of flicks with Sigourney Weaver", the 1st few "Omen" movies, and I'd even recommend an old silent flick called "Nosferatu"-very freaky! How about the originals, such as The Vampire, with Bela Lugosi, or the Mummy(the black & white version, not the Brendan Frasier comedy versions). How about the original Frankenstein, with Boris Karloff? Fright Nite is more comedy than actual "grab the nearest person & hang on tight" type of terror flick. Yes, the Exorcist is an EXCELLENT choice, but not the censored version we always see on the tube!
My favorites are: Alien Nightmare on Elm Street (original) Phantom of the Opera (1925 Lon Chaney version) And because its almost Christmas Gremlins this site has a pretty good list gets almost all the greats on their and a few really crappy ones #99 for example anyway heres the link http://www.best-horror-movies.com/100-best-horror-films.html