I haven't seen a horror film in years that actually scared me but i know that the first time I ever watched Nightmare on Elm Street Pt 1 i didn't sleep for like a week. It's still one of my all time favourites. Hellraiser's pretty good aswell, the first three are all good. The first Candyman scared the shit out of me when i was younger. Saw was good for a recent film.
Actually watch The Grudge, but you have to watch it on your own and really really late at night, that got me a bit.
Watched The Dentist, now i'm scared of going to the dentist EVER again if that counts.