Great post Pseudonymous!
Oh there are so many categories to choose from! I'll start with older films. I should clarify that these aren't necessarily "horror" films but most of them had a similar effect on me.
I agree with you 100% about The Exorcist, the book is even more terrifying. Some of the others would have to include; Psycho, The Shining, and I would have to say What Ever Happened to Baby Jane had a lasting effect on me.
As for newer films; I'll never forget how scared I was to go home after seeing the Blair Witch Project. Remember originally they had hyped it up as a true story? They even had some sort of Discovery Channel (I think) documentary on it. So the 'reality' of it was still fresh in my mind. And if nothing else they had a brilliant idea, even if it got played out after a little while. Others would have to include Signs and The Ring (the first one).
I also have some favorite cult classics or just Halloween themed films which would include; Donnie Darko (of course), Nightmare Before Christmas (or almost any other Tim Burton film), and I particularly liked the Garfield Halloween special they used to run every year.
That's enough for now. I hope others will post to refresh my memory and give me some good ideas for viewing!
~Ricky