In general I'm not a horror fan - because I'm a pussy and get scared and stay up at night just staring at the ceiling lol
But horror movies that I have enjoyed:
1. 28 days later
2. Dawn of the dead (the remake - never saw the original)
3. The Shining (to be fair I had read the book before)
4. The Mist (Not super scary but fucked up ending in the movie version - I had also read the book before)
5. I am Legend - Not really a horror movie but It scared the shit out of me nonetheless!
6. Alien - YES!!!
7. Bram Stokers Dracula - Just because I love how it brings in the history of Vlad the Impaler
8. Signs - not super scary or anything but really erked me out!
9. Fire in the Sky - not a horror movie by any account... BUT THERE IS THAT ONE SCENE!!!
A couple of comments on what you guys posted (Full disclosure: I haven't seen any of those below, just read about them):
A Serbian Film - Everyone and Anyone will confirm there is no plot or story or point - its just someone trying to get major shock out of the audience.
Cannibal Holocaust - From what I recall the filmmakers were taken to court for that true turtle killing and because some people really believed that the impaled girl was really killed (along with other fake corpses in the movie) - also I think I read two of the cast members fucked in real life prior to filming to prepare for the movie!
Martyr - Holy shit, I just read the plot on Wikipedia and WTF!!!! Seriously WTF!!!!!
One of the most disturbing movies I've ever read about and I can in no way get myself to watch is:
Salo or the 120 days of sodom http://en.wikipedia.org/wiki/Sal%C3%B2,_or_the_120_Days_of_Sodom