For me, The Exorcist will remain my all time scariest horror movie. I'm still uncomfortable watching the whole thing.

Other favorites:

Alien
Aliens
The Amityville Horror (1979)
The Haunting (1963)
The Changeling (1980)
Halloween (the first 2 and the Zombie remakes)
A Nightmare on Elm Street (and the third one)
Jaws
Burnt Offerings (1976)
The Omen (1976)
Let's Scare Jessica To Death (1971)
The Blair With Project (but only for that bloody ending that I still can't watch again)
Event Horizon
The Ring
The Others (2001)

and many more I can't think of right now. I tend to prefer the supernatural type of horror because of the "unexplained" aspect of it. A movie like the above mentioned Martyrs will leave me disgusted and disturbed but will not scare me while a movie like Picnic at Hanging Rock, while not a horror movie, will scare the living daylight out of me.