For me, scary movie lists begin with the grand daddy of all scary films.
1. The Excorcist
2. Alien (I saw it when I was young, and it terrified me).
3. Haloween (ironic. I loved this movie when I was young. The original indestructible killer, IMHO)
Honourable mention to Event Horizon, which REALLY scared me, but the ending was SO disappointing. Great movie until the last 10 minutes though. Also, The Blair Witch Project which didn't scare me much, but I loved how original it was and I think it paved the way for that type of genre.