I have yet to see a scary movie that I won't watch again, but Paranormal Activity made me the most uncomfortable, (Especially if my friend and I hadn't been making a backstory to explain all the little happenings. ie- a fire breathing, blind pterodactyl...). But some favorites are:

Texas Chainsaw Massacre (remakes)
Silence of the Lambs
The Saw Series
Misery
Paranormal Activity
The Shining

There are tons of awesome movies, but I can't remember all of them. Gotta love horror!