Depending on your age and what you're exposed to, there has to be a movie that absolutely scares the piss out of you. Mine would have to be Pet Cemetery. I saw it when I was young and it's stuck with me ever since.
Silent hill was intense, and that probably takes the cake for me. I've seen Pet Sematary, and I read the book, but still Silent Hill. It had serious issues, and it was one of those movies that really haunts you after you see it.
Pshyco. That movie has no gore at all, yet still connects head on with your fears. It's brutally scary. Also, Blair Witch Project had me having nightmares for days.