All scary films terrify me. Anything even vaguely spooky freaks me out to the point of not being able sleep unless all the lights are on.
When I saw The Shining I had to stay up until 04:00 watching the cricket highlights to calm me down (being in a second floor bedroom, with no light in the landing, and no one else in the house didn't help).
Worst time ever was watching a documentary on Ed Gein in a cottage in the middle of the countryside with no one else near me for miles. I was so scared I couldn't even get up to grab the remote control to change the channel, so I was stuck watching something that scared me more and more with each passing second. I managed to hook my school bag with my foot, and read the dullest book imaginable "Palmerstone & Foreign Policy in the 1850s".