For me it will always be Halloween(1978.) All these years later it still holds up as a good scary movie.
Alien, here. I love to rewatch Halloween (1978). I also think The Exorcist is great, and The Evil Dead is awesome too.
The Haunting (original) The Thing (1982) A Nightmare On Elm Street (original) Also, though it's not a movie, the full two-part version of Salem's Lot, which is *still* the best Stephen King screen adaptation. ETA - and since that's a TV show, let's throw in The Signalman as well
Silence of the Lambs. The night vision scene where he reaches for Starling's hair and face gets me every time.
Jaws. I'm always scared at the scene when Hooper dives into the ocean at night. I know the shark is not in that scene but I'm scared shitless anyway.
In terms of horror that's not scary, more exciting/compelling, I'd pick Silence of the Lambs. Totally brilliant movie in so many ways. Aliens falls into a similar category. I could reel off a pretty long list of those sort of movies that I like. I don't like scary movies that are just scary though; you know, the ones designed just to keep you startled. I tend to avoid watching those sorts of movie.
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).
Romero's original Dead trilogy and The Thing (1982). Not really scary, but my favorite movie to watch on halloween is the James Whale classic, The Old Dark House. Not as well known as the universal monsters, but it deserves to be.
The Haunting (original obviously) The Fog Halloween The Thing Blair witch Ringu Night of the Demon Salem's Lot (the David Soul mini series as per Lonemagpie earlier) to this day I still can't sleep with the curtains open...just in case some little boy comes scratching at the window.
The Shining - huge re-watch value The Grudge (one, not the sequels) - only watched it once. defo crappped my pants. will never see again. Halloween I - classic, great music, good rewatch value Jaws - multiple re-watch value. never miss a chance to see it again. Jurassic Park I - re-watch for atmosphere and effects. very lame storyline. Christine - guilty pleasure. great re-watch value. Steven King's Thinner - book was better but movie was okay. The Sixth Sense - no rewatch value but I'll always remember the wtf feeling after the first There's more but I can't remember right now. Will add later.