Apparently, a lot of people on this thread have confused "chilling scenes" with "scenes that I think are awesome". I don't mind though, but just sayin'.
The ending to the Blair Witch Project, the "aborted babies" scene in the Japanese film Noroi: The Curse, the beginning prologue for Antichrist, anytime the Joker appeared in The Dark Knight, the ending of Home Movie (Nobody's seen this. Think Blair Witch Project but with little children replacing the witch), the first half hour of Saving Private Ryan, The Devil's Backbone...just The Devil's Backbone, anytime HANNIBAL LECTER appeared in Silence of the Lambs and let's not forget Buffalo Bill dressing like a girl and dancing in Silence of the Lambs, Se7en...just Se7en, the entire climax of The Orphanage, lots of scenes in Pan's Labyrinth, I could go on you know. I've seen so many horror movies that I can't even count.