I could list a few movies that I found to be scary when I was a little boy, but nowadays there's not a single horror movie (including ones from the past) that could scare me.
I've seen too much and especially when you expect it its scariness, you will be disappointed.
Some people mentioned The Conjuring and I thought this was the least scary horror movie I watched in a very long time. Nothing frightening about that.
It gets scary when you don't expect it, so the natural answer would be that it can't be a horror film. Jumanji back in the day scared me more than any horror film could ever do today.
As for recent horror films that had a few scary moments I would recommend Life.