Horror is extremely personal. What works for me is not likely to work for a lot of you. I tend to steer away from gratuitous gore-porn of the SAW and HOSTEL variety. It makes me uncomfortable in my gulliver --without delivering the intellectual fear-high that brings enjoyment.
In no particular order:
Based on a short story by Clive Barker, this movie explores the reality behind urban legends and manages to build up the dread as it chugs along.
Ju-On: The Grudge (2002)
A ghost story in the Japanese style. Japanese culture preserves the notion that supernatural forces are a form of corrupting influence that infects the lives of those it touches. This film exemplifies that.
The Thing (1982)
John Carpenter fully explores the ways in which encountering a man-eating shapeshifter can be an awful, awful experience.
One among countless iterations of the "monsters walk among us" theme -- but it's done with such style. Heebie-jeebies all around.
Lost Boys (1987)
So this film isn't particularly scary, but it's one of those movies I return to over and over. Excellent casting and wonderful homages to vampire lore. Plus it boasts both Coreys (Haim and Feldman).
The Howling (1981)
Ignore the sequels. This film accomplished everything needed from a modern-day werewolf flick. Amusing and creepy and perfect nightmare fuel for the youngins (they'll thank you later in life).
David Cronenberg at the height of weirdness. Figuring out what's happening is less important than just being along for the ride and soaking in the madness.