There are many different films that could be qualified as horror films that have scared the crap out of me. When I was younger, before I was a teenager, Fright Night and Salem's Lot really did it. The Exorcist and Pet Cemetery scared me when I just hit my teens, and later I remember being very distrubed by Event Horizon, The Exorcism of Emily Rose and the likes of Japanese horror films like Audition. From the time of Fright Night to now the fright I felt has changed. When I was young I was frightened at what they showed me, now I'm scared of what they don't. They say imagination starts hyperactive and gets duller and duller as you grow older, but with me it seems to have worked the other way around. I don't need much nowadays to let my imagination run rampant with it and take me into the deep waters of dread.
One of the best examples of showing little and therefor scaring me more was The Blair Witch Project, in which three people get lost in the woods of Maryland while they're researching the legend of the Witch of Burkittsville. The films doesn't show anything overly frightening, but it leaves a lot to the imagination. A lot. This is the reason why I really like this horror film, much more than the overly gory films that have come to dominate the horror genre.