As a kid, Nightmare on the Elm Street series.
Now, I don't get scared, I might get startled briefly, but scared, no?
I guess the closest thing to being scared by a movie recently was when I watched The Fourth Kind. But that was more like upset, than scared.

The Exorcist
Paranormal Activity
The Shining
These films were more psychologically scary than jump out of your seat scary. That is why they are brilliant.

George's Romero's Dawn of the Dead (EURO edit by Dario Argento, music by The Goblin). I couldn't eat "well" for weeks....

Today I am not really afraid of most movies because they are movies but as a child... oh boy...
Event Horizon... never ever did a movie scare me that much like this one did. After it comes Alien 1 ... well I should have listen to mother that it is no movie for a child (I was seven at that time). Both movies were responsible for enlightend nights in my room...
Poltergeist... hilarious as a child I abondend my TV for two weeks and I played sick so that I haven't to go into the water in swimming lessons...

Never been scared of a film. Ever.

QFT.
Startling does not count.

Let's just say the American remakes are mild compared to the Asian originals. :)
Ringu is the movie that moves through the plot normally. Then at the last moment it drops Mount Everest on you. But I watched it so many times, I don't feel anything anymore. hehe

I was living alone for a couple of weeks while my soon-to-be wife was prepping for our wedding. It took me about 4 tries to watch all of Aliens 2 as I literally had to watch it in shifts :-)
You had to pay attention to the story, but the final scene of Blair Witch still creeps me out...

When Blair Witch was doing the rounds with all the hype was surrounding it. my mates saw it before me and said it was shit; but that shot of the kid in the corner at the end and also when the girl screams at him for throwing away the map made the hairs on my neck prickle.

The Wall, if it counts.

The Shining got under my skin more than any other movie in the genre. The "All work and no play makes Jack a dull boy" bit is just a perfect moment of dawning horror. Also: Creepy evil little girls don't get any creepier than in this movie.
But the the best horror movie I've ever seen would have to be Audition. Not really scary, but truly horrifying in a way that most gorefests can't manage.

Braindead, I guess.
Edit: no wait, definitely Neco Z Alenky.

The Shining scared the shit out of me the first time I saw. Although, I was like 6 years old at the time. I don't really get scared anymore, but occasionally a movie will be made well enough to make me uneasy, although I will admit that the original Hellraiser scared me to death the first time I saw it and it still does, even now. I love it, its one of my favorite movies, but goddamn if it doesn't just have a creepy way of getting inside my head and staying there. Also, someone a few posts up mentioned Event Horizon, which was an excellent movie. Everytime Sam Neill's wife popped up with her bloody, empty eye sockets, brrrrrrrr. Gives me a chill just thinking about it.
Then again, as much a I love horror movies, what the world now calls a "horror" movie isn't really. What I would call a horror movie is something that could actually happen to someone. Even though it sucked, Open Water would be a good example of that point. Even trying to imagine the feeling of literally being in lost in the middle of the ocean, no boat, no food, and knowing that nobody is coming to help you because nobody knows you're gone. Imagine the feeling of being.....that alone. Its chilling my spine even to type about it.

The Truman Show. No contest. I saw it when I was eight, and it's been scaring the hell out of me for 13 years.