For me, the most frightening and the scariest movie I ever watched would be Sinister.
Technically speaking, The Conjuring, Paranormal Activity and Insidious are also as scary as Sinister.
However. when I started watching Sinister I did not have slightest clue that it was a horror movie. It was among a lot of movies that a friend let me borrow (I watched the blu-ray, not on-screen), and before watching it I did an IMDb search. It was listed under Horror|Mystery|Thriller, and yet I expected it to be more of a mystery thriller than horror. I only interpreted that horror as just some hardcore action.
The summary went on as this; "A true-crime writer finds a cache of 8mm home movies films that suggest the murder he is currently researching is the work of a serial killer whose career dates back to the 1960s."
There. I decided it was a crime solving mystery movie, the type of one I absolutely love to watch. So I went on to watch it and it seems to be what I expected for the first half an hour or so. But then the supernatural stuff started and I knew just what it meant by horror.
Thus Sinister is to-date the movie that frightened me most, because as said above, I was not at all expecting a horror movie.