Made this same thread last Halloween, so I wasn't gonna post 'em again. But horror's my thing, I gotta.
The classics already mentioned first: Night of the Living Dead, Exorcist, Shining, Halloween, The Omen, and The Changeling in particular. All fantastic. But The Innocents, too. Creepy as hell b&w, '61 gem based on Turn of the Screw. Eerily suspenseful, must see ghost story. Don't Look Now, a genre-bending mindfuck, but so psychologically disturbing I'm including it here. Polanski's Repulsion, too, same category as DLN, same terrifying creepiness. Finally, Woman in Black, the original. Best horror ever made for TV.
Now Alien is amazing, but it's too sci-fi for me to include in the genre. Could be wrong.
More recent: Jacob's Ladder, Event Horizon, The Others, Blair Witch and Paranormal Activity (probably the two that affected me the most, fuck the bandwagon critics), The Descent, Rec, 28 Days Later, The Devil's Backbone, and SESSION FUCKING 9 for the love of God! By far the most underrated masterpiece of modern horror.
Honorable mention: The Wicker Man (original, of course), The Ring (remake), The Strangers, Sinister, and The Conjuring. Maybe Stir of Echoes, too.
Probably forgetting a few, but for the most part, these all have something my horror snobbishness requires: They're smart, and they put a premium on atmosphere, suspense, and psychological fuckery. And they don't try to mix funny with scary, I hate that shit. Not that it can't work (Shaun of the Dead, for instance), but it's a whole other animal.