In no particular order:
The Fly (Cronenberg)
Friday the 13th
Halloween (Carpenter)
Hellraiser
Mothman Prophecies
Night of the Living Dead (Romero)
Nightmare on Elm Street
The Omen
Paranormal Activity*
Poltergeist
The Ring
Saw
The Shining
The Strangers
Suspiria
Tenebre
The Thing
I really struggled to find some good, recent "scary" movies. Either I'm just that hardened or Hollywood's gotten pretty tame. This list represents a little bit of everything; I tried to keep it to the genuinely paranormal with the occasional dash of psychotic killer for flavor. Some of these are are only moderately scary, some are thick with suspense, some could've aged a little better, and some are silly-yet-required viewing for any Halloween.
I also feel compelled to point out the lack of Event Horizon. The movie's got style, but it's just dumb at every angle.
(*Pretty much vaulted due to it being an indie movie with a Hollywood version being made. If you can find it online or something, watch it. It's Blair Witch in a haunted house done reasonably well. It's obviously fake, but on Halloween night in a darkened room I can definitely see it keeping a few people up, or at least make 'em sleep with the lights on.)