I think the old ones are the best really...
Halloween is my absolute favourite, never fails to scare the pants off me.
The Omen, also has that effect on me.
The Shining, really creeps me out.
Also, I'm not sure if these are counted as horror, but I love the Thomas Harris trilogy (Red Dragon, Silence of the Lambs, Hannibal)
The most recent film that really scared me was The Grudge.
My fiance's trying to get me to watch 'Salem's Lot, but the way he describes it, I'm a bit scared to watch it!!