Favorite scary movies: The Thing (Kurt Russell), Halloween (1st one), Aliens, Jaws, and Dracula (with Frank Langella).
There are, of course, lots of great horror movies but these are my top 5 (and the only ones I bought the DVDs for). The only reason I don't have Hitchcock movies on this list is because his are more psychological thrillers than today's horror. Exorcist 3 would fall in similar to his style (you don't actually see anybody die).
Just as scary are old horror radio programs that you can get for free as podcasts at Itunes. Lights Out has some of the spookiest stories!
For less scary (more appropriate for kids), my favorite is Hocus Pocus (Disney).