I was ninja'd with Jacob's Ladder, but I'll add another tally to that suggestion. The Untold Story might not exactly be horror, either, since it's more like a true crime story with graphic scene, but it's one of my favorite movies. After that, Audition because of its extremely thick atmosphere, and then The Brood. Yes, I believe in that order.
EDIT: Also, because I can't never stop talking about movies:
Evil Dead Trap
Uzumaki
Demons
The House by the Cemetery
Xtro
Suspiria
The Tenant
Angel Heart (not exactly a horror movie but it's creepy)
If you want memorable in a more "Oh my god I don't know how much longer I can watch this" kind of way, Ichi the Killer and Men Behind the Sun are a couple of good bets.
Oh yea, and The Shining, have you really not seen this one?