This is an old list but still holds up.
Ginger Snaps - A coming of age werewolf tale that somehow combines female menstruation and a monster curse. For a small indie film, this one delivers the goods. Bonus points for being a Canadian film.
Silence Of The Lambs - True horror films get to you on a visceral level. No movie freaked me out in the theatre more than SOTL. I include Seven with this one as a perfect psycho double feature.
Lost Boys - You would think that the formula was a no-brainer after the success of this one in the 80s but have you seen another vampire film that you enjoyed as much in the theatre? Even the soundtrack remains memorable 30 years later.
Frailty - I don't know if this qualifies as a horror film but from the way it made me feel uncomfortable for weeks after I saw it, it deserves a place on my list.
Fright Night - A great story, a truly scary vampire villain and an Oscar worthy role for film vet Roddy McDonald all combine to make this one a fun winner. Less violent than you remember but much scarier.
Trick or Treat - I wish there were more of these films released every Halloween. Find some hot new directors and give them twenty minutes to tell one part of a larger collected story like Trick or Treat did so well. There is room for this kind of film in the marketplace.
Creepshow - was the original Trick or Treat and told some fun scary stories. I still have a fear of being buried up to my neck in sand as the tide comes in.
The Mist - I list this movie purely for it's ending which stuck with me a long time. For a dumb giant bug movie, this one hit the mark.
Saw - While I admire the ingenuity of the deaths in the Saw series, there is nothing that could have shocked me more than the BIG reveal near the end of this film. It was brilliant and terrifying in ways I still can't understand.
Final Destination - I am a big fan of creative mayhem in this series and the way that the deaths are designed for these films, which are often shockingly fun - jump out of your seat fun. I have some thing about watching stupid teenagers thinking they can outsmart DEATH. But that is why they need to be killed in a bizarre and interesting manner.