The only 3 movies that have ever scared me are The Amityville Horror, Superstition (never met anyone else who's ever seen it, saw it when I was

, and The Ring.
I enjoyed Pumpkinhead, The Evil Dead series (though it's hard to really consider it horror), House (again, kinda... kinda not), Witchboard, An American Werewolf in London, Bram Stoker's Dracula, Lost Boys, Killer Clowns from Outer Space, Night Breed (or anything by or based on Clive Barker's stuff), and The Prophecy.
If you like slasher flicks, check out House of a 1000 Corpses in the theatres. Very well-done, especially stylistically, but you have to keep in mind the director (Rob Zombie) was trying to make an homage to the genre while pushing some boundaries or it will seem cliched.
"It is not the literal past that rules us, save, possibly, in a biological sense. It is images of the past. Each new historical era mirrors itself in the picture and
active mythology of its past or of a past borrowed from other cultures. It tests its sense of identity, of regress or new achievement against that past.”
-George Steiner