None of the films in the other answers gave me so much as a chill, except Psycho. That is one of the great Horror Film templates. The rest listed produced yawns but no true scares.
There are a lot of films that have made me sleep with the lights on. I believe in the power of suggestion to create monsters in your mind, that those images resonate more than anything a make-up artist can slap onto an actor. The setting also has to be right. A darkened, quiet theater or your pitch black living room will add more to a film's impact than watching it on your IPod in a college lunch room.
-Night of the Living Dead (1968) Forget the 1990 remake. This one is King. As scary as a movie can get. Try watching it just as the sun goes down, with the lights out. It's filmed like we're in the house with these desperate people. My first viewing was in 1970 at 5 p.m. By the time the film ended, it was Dark. We hid on the floor of the car all the way home (I was 13). I didn't go outside in the dark all summer. Others have tried to imitate this one, but they just don't get the point. Minimalist and raw, if this one doesn't get to you, nothing will. Rating: 10.