<<Nosferatu! (there are two... one is from 1922 and is very old but a great movie. The other one is from 1979 and is still without blood or anything gory, and in color. In the first one the monster is more of a classic coldblooded evil kind of guy and in the second one he is more sympathetic and speaks more, he is still scary but more human... both are good!)
Coraline is literally a kids' horror film, and that is what it is intended to be, but then again it is not as scary as an adult one, even an older one.
M. Night Shyamalan has a few creepy movies that are not gory. The Lady In The Water, Signs, and The Village are good that way.
P.S. The Birds scared the piss out of me when I was a kid because they pecked out some woman's eyes. It was gory. And The Ring is scary as well, a bit gory but mostly just very very disturbing. It will give you nightmares. Silver Bullet is scary and not too bad except for somebody is run over by a train in it. And that is nasty.