I find myself not being scared from movies and I like watching movies with creepy atmosphere that makes you feel uncomfortable,as Tarbh666 also said. Seven is a must because of its plot and Spacey of course (The Horsemen with D.Quaid had potential,but failed),The Exorcist is an all time classic and I think that,regarding when it was made and the fact that it was a good movie and not just a splatter low-budget film,it has some of the most disturbing scenes. Salo is one the most disturbing movies ever,though not a horror-thriller movie.
I have mixed feelings about Rec,though the last scene of the movie is really top class! I liked the original Last House on the Left (I haven't seen the remake yet),Jacob's Ladder with T.Robbins (if you like Silent Hill games you have to see it),the first Ringu (with the last scene to be one of the creepiest),the Alien series (though the last one is more action than atmospheric),I enjoy Saw series (some more some less) and wait the next movie like a child as Gareth mentioned. Masters of Horror 1 had good moment (I haven't seen 2 yet.)
The last 6-8 years I find myself to enjoy asian thriller-horror movies,although I think nowadays it's more of a hype (after The Ring,The Eye,The Grudge,Dark Water,Pulse)remakes. These people really know to create creepy atmosphere without too much graphic violence. Ringu,Ju-On,Kairo,Gin Gwai are a good start. Men Behind The Sun is pretty sick because of true story.
I want to watch The Antichrist because of Daffoe,Von Trier and those extreme opinions I've read (either too good or too bad).
There's a movie though that it's not horror-thriller or anything like that,but brings me the chills every time I see it. It is Oldboy (and the next movie of that trilogy,Sympathy for Mrs.Vengeance is also very good). Unfortunately,a remake is planned,directed by Spielberg and Will Smith as the lead actor.... If you have watched Oldboy then answer me,how can the Prince of Bell Air play the role of Dae-su????? Fucking remakes....