The Thing scared the absolute shit out of me when I was twenty - yes, twenty - and still makes me uncomfortable. I won't even watch the 2011 remake because I'm just that terrified of the prospect (plus I heard it sucked).

Some of my other faves:

Alien
The 2002 Verbinski Ring. More of a suspense, but I'll play the devil's advocate and say it was superior to the source material in Ringu.
Dawn Of The Dead
30 Days Of Night
Evil Dead 2
Session 9
Dawn Of The Dead
28 Days Later
Invasion Of The Body Snatchers '78
Stephen King's It (dated, but way better than the book IMO)

In terms of videogames, Silent Hill 1-3 are the ones to beat. First film wasn't bad.

And it's not really a horror per se, and it'll never be made into a movie due to the author's wishes - and that's both a shame and a blessing as it wouldn't lend well to the medium anyway - but Mark J. Danielewski's House Of Leaves has some chapters that chilled my blood. Astounding book.