Is it weird to find Freddy, Michael Myers, Jason movies somewhat comforting? I mean none of them scare me now, they kinda remind me of better times actually
A Nightmare on Elm Street Part 3 is my favourite hands down. Though New Nightmare scared me as a kid.
As for films that actually scare me/have me feeling uneasy. Hellraiser II (the fully uncut version) is pretty terrifying.
Candyman is a good one too. Scream is a fun Halloween film, as is any Halloween film.