I'm not a huge horror movie fan, but here's some from over the years (sort of in chronological order)...
"The Amityville Horror" - The 1979 version (I didn't see the remake from last year). The book was chilling.
"The Shining" - Jack N. Rocks!
"Alien" & "Alien 2" - The first movie was just groundbreaking, and the sequel was just as gripping.
"Halloween" - I agree with what others have said.
"Silence of the Lambs" - The whole Buffalo Bill / Hannibal / Clarice is so weirdly unsettling. Not sure if you'd call this a horror flick or a psychological thriller. It was gory enough to classify as horror, in my opinion. "Red Dragon" is an excellent book, but I haven't seen the movie yet. I'll probably get it on DVD sometime for cheap.
"28 Days Later" - I can't remember being as scared / jumpy as when I watched this one for the first time. Mostly abandoned London, the church scene, abandoned army roadblocks - and the final ending suggestion...
"Shaun of the Dead" - Didn't take itself too seriously.
Do you remember an old movie called "Bloodlust"? It was one of Robert Reed's (Dad on 'Brady Bunch') first movies - if not THE first. I was watching the Mystery Science Theater 3000 version of it the other night. Very cheesy movie in itself, but the MST3k treatment is so funny...
Ever read any H.P. Lovecraft?
Personal note: Do you remember remember a 1987 movie called "The Curse"? It's a pretty badly done B-movie (very suitable for MST3k treatment), and it could have been released as "The Well" or "The Farm", depending on where & how it was released. It was directed by David Keith, and was filmed on & near KAMommy's maternal g-parents homestead in Tellico Plains TN (David Keith owns a farm there also). Claude Akins and Wil Wheaton were the 'stars' of the movie. It was based on H.P. Lovecraft's short story "The Colour out of Space". The head of cattle in the background shots are my father-in-law's - I've most probably got some of those cattle's descendents in my freezer as I'm typing this. How's that for horror? (from the cattle's point of view, anyway...)