I really liked "Event Horizon". I'm a huge movie fanatic (over 1000 DVD's in my collection) and I've seen a LOT of horror. From the 30's on up to today. I still say "Event Horizon" is one of the very few movies that I actually found SCARY. Watch it.
Also, I enjoyed "The Descent." Some people liked it, some didn't. I thought it was pretty good.
The first Evil Dead movie is a good one. The stop motion animation is SICK.
Probably the scariest movie of all time would be The Exorcist.
If you like a bit of humor with your blood and guts, DeadAlive is GREAT. (Same director who brought us the King Kong remake and LoTR trilogy)
The living dead movies are always good. If you get the remakes, go with the Tom Savini (1990) Night of the Living Dead or the 2004 Dawn of the Dead.
The Shining. There are more scary moments in that movie than many can handle. Just get the Jack Nicholson (original) NOT the one with that guy from Wings.
Poltergeist is a classic for a reason.
An American Werewolf in London (NOT PARIS!!! AVOID PARIS!!!)
There are many more, but how good/scary a movie is is subjective. The above movies are all pretty safe. I could sit here and tell you about Nosferatu or The Haunting. Dario Argento or Luccio Fulci. Boris Karloff or Vincent Price. But these are not for everybody.
I'll tell you this: Night of the Hunter. Not a horror film, but for some reason still scary. Very disturbing.