Ive said it before and I'll say it again - The Excorcist. Me and my mate watched it on our own with the lights off in my flat once, needless to say I had to hold her hand to go to the downstairs loo!!
Where the priest is dreaming and the devils face flashes up, eeeeeeeeeeeeeeee!
Also The Descent, not really scary as such but very jumpy. The Grudge was a good one I thought, the duvet scene really freaked me out. I agree with someone on here when they said about zombie films, they always care me and give me nightmares, yet I can't stop watching them!!