My favorite or the one that scares me the most? Different questions.
The only movie that's ever managed to unsettle me past the viewing experience was Amityville Horror (2005) (believe it or not), but it's not my favorite. The only movies that even bother me are ghost movies, and that one's pretty good.
Does The Fly count as "scary"? I like it a lot, because of the high Goldblum Factor and the excellent practical effects. I'd also consider Videodrome if only it were more coherent, as that's a very creepy film. Failing that, I'll echo The Thing (1982).