I tend towards older horror movies, mostly. Newer ones are...OK, but the old stuff tends to be scarier.
That said, I recommend anything prior to Phantom of the Opera by Dario Argento (seriously, guy is a master of horror).
Another good older movie, if you don't mind slashers, is the original (NOT parts 2 and 3) Sleepaway Camp.
As far as Dario Argento goes, while his films prior to PotO mentioned above are classics, as is Trauma, the three I recommend the strongest are Suspiria, Profondo Rosso, and Phenomena.
And while this is a thriller, not horror, I cannot recommend Fatal Attraction enough.
Also, the first 3 Omen films are all good in their own ways. The first one, I'm assuming you've already seen, but if you haven't, do see it for the incredible acting and suspense. Here's a line that anyone who has seen the movie will know: "It's all for you, Damien! I did it all for you!". The second one is a bit weaker in the character section, but makes up for it in creative kills. The third one is a balance between the two, though the ending is a bit of an anticlimax. But whatever you do, do not ever, ever watch the remake. It could have been worse...but it is still quite terrible. The one decent actor in the movie is trying to follow up from Gregory Peck. Yeah, good luck with that. And Mia Farrow helps ease the pain a bit.
Finally, for older movies, I strongly recommend the original Wicker Man. It has a slow build-up, but the pay off is quite worth it. And it has boobies. Lots of boobies. That helps a lot.
As for newer movies, I second the recommendation of 1408. It's much more of a psychological film, but it does a good job at making you feel uneasy the entire time.
Edit: Trauma came out in 1993, while his version of Phantom came out in 1998. Do not see that version of Phantom of the Opera. If you must see a horror version, find the one with Robert Englund as the Phantom. However, Phantom of the Opera is not the same movie as an earlier Argento film named Opera. That one is great fun to watch, by all accounts.