I have been unable to watch House on Haunted Hill or Night of the Living Dead all the way through, and I wouldn't even try to watch most of the newer horror films. When I was a kid, I stayed the night at a friend's, and The Haunting came on. We watched it up to the bulging walls and had to turn it off because it was too scary for us. I've since watched it to the end, and I think it's a very good movie.
I absolutely do not do horror movies, so I'm digging far into the past to come up with the scariest movies I have ever seen. First, The Exorcist. I have no idea how I got into the theater to see that when I was 14, but somehow I did. It totally terrified me. Truly, I was shaken up for at least a year---slept with my bedroom light on every night. The next time I tried a scary movie was when I was about 20. Went to see The Shining at the drive-in (remember those?). I was so terrified that I begged my friends to leave. We left so early that they hadn't even opened up the exit yet!
That was over 3 decades ago, and I haven't seen a horror movie since!