I'm not a big horror movie fan. However, there are some horror movies I really dig. Here's a list of them, in more or less the order they came out. Some people may be annoyed at my lack of some obvious choices but these are mine, not yours. Make your own list. You'll notice a lot of old movies on this list and that's because I think the old movies were done best. New isn't always better.
The Cabinet of Dr. Caligari (1920)
Nosferatu (1922) - The blown-out, grainy, scratchy images accent the weirdness and horror. The first and the best. Fan-fucking-tastic.
Dracula (1931) - The 1999 video release with a Philip Glass score, performed by the Kronos Quartet is nice as well.
The Mummy (1932)
The Bride of Frankenstein (1935)
Psycho (1960) - I know I'm in the minority here but I think the Gus Van Sant version is great and worth watching as well.
The Thing from Another World (1951) - surprisingly intelligent and has an unusually strong and smart female character for a movie from the mid-twentieth century.
Night of the Living Dead (1968) - This is a classic. I've not seen the remake and I don't care to.
The Legend of Hell House (1973)
The Fog (1980)
The Evil Dead (1981)
The Thing (1982) - a rare remake that actually improves on the original.
The Fly (1986)
The Hitcher (1986) - I can't fathom why they would remake this.
Evil Dead II (1987)
Dracula (1992) - I can't adequately express how much I love this version of Dracula. It's campy, scary, beautiful, over-the-top and it has Gary Oldman! Also stars Winona Ryder, Anthony Hopkins, Richard E. Grant, Cary "As you wish" Elwes, Tom Waits (WTF!!!?? He's great in it but still, WTF!!!???) and Keanu Reeves with an entirely unconvincing British accent. It's awesome!
Frankenstein (1992 TNT TV version) Extremely underrated and faithful adaption of Mary Shelly's classic. It stars Randy Quaid as the monster!
Return of the Living Dead 3 (1993)
The Sixth Sense (1999)
House on Haunted Hill (1999) - I love Geoffrey Rush in this!
Thir13en Ghosts (2001) - Mostly hated by everyone but I enjoyed it. Pre-Monk Tony Shalhoub!
Silent Hill (2006) - way way way underrated. I recall some moron on a random horror website berating the movie for the use of CGI monsters, which is idiotic considering that all the monster effects were done with practical makeup and costumes.
That's all I can think of atm.