"The Exorcist" is only scary to Catholics and others who were raised to think demons might exist. The movie is a metaphor for the mental state of a reluctant parent.
"The Shining" is the GOAT. Creepy, well-made, gives everyone the heebie-jeebies. King didn't like it because the story was written during his darkest drinking days, and it hits a little close to home in regards to the violence towards the boy and wife. I'm sure he was channelling a lot of his own dark fantasy into that book, whether he was aware of it or not. No wonder he finds it unsettling and distasteful.
If you want real-life horror, watch a documentary called "Jesus Camp". That will freeze your veins. Those poor kids.
Tension-type horror, check out "The Descent".
Unrelenting, take it to the next level, watch at your own risk, don't say I didn't warn you horror, see "A Serbian Film".
For lighter fare, "Exorcist III" is not bad at all. Some classic scenes in that film. I also like "The Omen" (original version).