Interesting thread this one!
To an extent, it depends on the frame of mind I'm in when I watch the film but a few that have scared me over the years are:
Black Christmas (the first time I watched it)
When a Stranger Calls (original)
Last House on a Dead End Street
The last one is probably the odd one out since it's not, in all honesty, that great a film (whereas, in my opinion, the other 2 are). It just really creeped me out when I watched it and stayed with me afterwards, perhaps due to its griminess and snuff-like quality. I should check it out again really and see if it has the same affect.