There a lot's of movies mentioned here that I like, but I don't really consider to be horror (army of darkness, for example).
Here is my list, mostly based on the movies that scared me the most in my lifetime:
1) Candyman - saw this as a kid - we snuck in underage (14 years old was the age limit) and had to sit in the front row. Scared the living shit out of me.
2) Event Horizon - very creepy movie, mostly because it's so believable (believable for si-fi anyways).
3) Psycho - still scares you even though it was made so long ago.
4) Exorsist - also scared me as a kid. Believe it or not I was afraid to have my window open at night for the longest time because I was afraid an evil spirit would fly in and take over my body (as in the movie).
5) The Shining - good movie, but not as good as the book.