Any theological horrors, dealing with God / Devil themes. Hence, The Omen, Exorcist, Emily Rose, Prince of Darkness etc really leave me feeling uneasy. Anything that makes you question the nature of good and evil and that leaves you thinking well after the film's ended, is usually a good sign.
Ghost stories, done effectively and where it's based on some semblance of truth, are a little unnerving too. Films dealing with the afterlife - recently, the first White Noise movie with Michael Keaton was fairly effective. As was Flatliners before it. I plan to see White Noise 2, though don't expect that to be as effective.
Slasher movies / body gore flicks (Hostel etc) just don't have the same effect and are a poor substitute for true horror, though appreciate they have their own audience.