John Carpenter's Halloween (NOT the remake!)
The Haunting (1960) (better than its remake, too)
The Innocents ~ very eerie, with brilliant performances by Deborah Kerr and the two children.
The Skeleton Key
Ghost Story (1981) ~ However, this does have nudity and a somewhat explicit sexual encounter.
The Fog (1980) (better than its remake!)
The Changeling (1980) (with George C. Scott, not to be confused with the Angelina Jolie movie)
Creepshow and Creepshow 2
A lot of people like Stanley Kubrick's "The Shining", but I prefer the TV miniseries. For many people, "The Shining" and "The Exorcist" are horrifying. To me, they fail, but the majority would disagree with me.