There are a few films that I have to have a cushion by my side to watch (for hiding behind).
Time For A Change Of Underwear (Films That Scare lil' lexie)
The Shining - the last ten minutes really terrify me. The blokes in the bedroom and one of them is in a doggy outfit (shudder).
An American Werewolf In London - don't try telling me this is a comedy!!!It's one of the scariest films ever made!!!
(REC) - ''DON'T GO IN THE ATTIC!!!!!'' The last 20 minutes is like watching a series of 'screamers'.
Salem's Lot - I refuse point blank to watch this film alone. Scary kiRAB scratching at the window!! I can't sleep with the windows open no more 'cus of that bloody film.
Amityville 2 The Possession:

I shouldn't be scared by this silly film, especially at my age (35) but it's creepy as f*ck.
Barbarella - those nasty dolls with teeth. Absolutely terrifying, I can't watch that bit.
Eraserhead - dancing girl behind the radiator

Jaws - the bit when the shark attacks the bloke in a small boat in the pond.
The Exorcist - whist not as scariest of films IMO, there are bits though that do give me the willies.
The Thing - still scares the pants of me, especially the blood test sequence.