Not a lot of horror movies really scare me, anymore, but I remember coming home with the Unrated Dead Silence DVD from Blockbuster back when those were still around and watching it late at night alone with no lights on. Not gonna lie, that was one of, if not THE worst decision I've ever made in my life, that movie legit freaked me out, and I don't get scared easily this day and age. It legitimately gave me sleep troubles for a couple nights afterward.
Other than that, The Conjuring II was pretty unsettling as well. A lot of people sitting near me in the theater were jumping out of their seats. Also, Poltergeist scared the living shit out of me when I was a kid, because I was one of the many poor young souls duped into thinking it was appropriate for kids due to the film's infamous PG rating. Anyone with half a brain knows it should've and would've been rated R today for this scene alone.