I'm ashamed to admit it, but Blair Witch. I think fear is a personal thing and this movie really played on mine. It's a film i own on DVD, but haven't ever actually watched it again lol
I remember Demons 2 freaking me out when I was younger, but i've not seen that in a good 10 years, so can't really comment.
Nightmare on Elm St 1 is good, Scream is fun too.
I liked The shining - but it doesn't scare me, nor does The Exorcist.
I would love to find a decent Ghost movie though. Perhaps to watch in the day time - in summer, with lots of people....lol