I'm going to add that you should try to watch the Japanese version of One Missed Call 1, 2, and 3. I personally found the English remake to be very laughable.
As for some of my personal favorites, I'd recommend:
Child's Play (especially if Cabbage Patch dolls or any kind of doll creeps you out)
The Puppet Master
Wes Craven's New Nightmare (this movie doesn't get the love it deserves)
Tremors (not scary in the least, but it's technically a horror film)
Jason Goes to Hell (only scary if you're squeamish)
Jaws
Friday the 13th: Part 1 (whether or not you find the series scary, I think the earlier parts deserve some recognition for their unique utilization of the first-person perspective)
Halloween 2, the Rob Zombie version (I don't understand the hate for this movie, or the one before it. I found them both to be tasteful and artistic remakes of the original)
The Omen (the older ones, not the new one that came out in 2006)
Two Girls, One Cup