Poltergeist did it for me when I was younger.
Nowadays I don't have one specific one, but here are some that freaked me out a bit:
(Anything with Freddy Kreuger, to start out with.)
The Ring (and Ringu)
The Eye
Audition
Last House on the Left
Has anyone ever listened to the commentary on the LHotL DVD? Both film-makers seem to kick themselves for making this, and seem to think it is trash, but I really liked it. It got down to that basest level of humanity and just how scary it can be. The same goes with Audition, though I'm still scratching my head about that one. But the girl in that one was one sadistic f*ck, at any rate.
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Midgard Dragon
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