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.