There are lots of favourites of mine
The Shining, Halloween, The Grudge, Saw (all), The Ring, Hellraiser, Friday the 13th, Texas Chainsaw Massacre, Silent Hill, Silence of the Lambs, Hannibal Rising...I could go on.
Though, some horror films are hilarious. I mean, the orginal 70's Texas Chainsaw Massacre is pathetic and LOL-worthy. Same for Psycho and Nightmare on Elm Street, they just have me laughing too much :S
Oh and if you like gory, sickening, disturbing movies. Then you should watch Hostel and Hostel 2. Both of those are f*cked up and real sinister. I don't find it scary but it sure as hell creeped me out a little.