The Exorcist...that movie never fails to scare, no matter how many times you've seen it. Exorcist III is also one of the most underrated movies I know of -- it's a great cop/supernatural story, and I don't think movies like Seven or Fallen would exist without it, and those movies are more what critics praised.
The original Texas Chainsaw Massacre.
The Evil Dead films.
I'm still a fan of the A Nightmare on Elm Street movies, as crappy as they became (first three are the best)...
I also really love the original Hellraiser movie, I think that's become forgotten amongst the horror crowd thanks to the endless subpar sequels.
One movie I really admire and like (although I'm not sure how many people place it in horror since it's a made-for-TV flick) is "Stephen King's IT." I just love that idea of several childhood friends reuniting as adults to once again fight against this entity that they defeated when little. I think that and "The Dead Zone" with Walken are Stephen King's only good stories, but I suppose that one falls more into the category of "thriller."