The only movie to give me nightmares as a little girl was The Exorcist, so that's gotta be my number 1.
(In fact, just looking at Regan's face still freaks me out!
)
And, being old-school, another fave of mine is also the original The Haunting (of Hill House.)
After that, I gotta say, in no particular order:
Night of the Living Dead
The Shining
Shaun of the Dead - Best zombie movie EVER.
Hellraiser (believe it or not, I saw this flick in the theater w/ Glenn Danzig!
It wasn't a date, though...
)
Carpenter's The Thing (more great quotes in that movie than I can count.)
and Evil Dead.
-At Fang-Con a few years ago, we were luck enough to watch it with Bruce and the Girls with them commenting on every scene.
Highlight of my life.