Here's my three, in no particular order, and why...
Blair Witch Project: First saw this at home, alone, and in the dark which imho is the best way to watch this. For most of the film I wasn't sure if it was real or fake until the "witch" apparently cast a spell or something and made them go in circles or something. Then I knew it was all fake and wasn't as scared. But the ending still gave me chills.
Predator: It is an action and sci-fi movie but when I was 9 or 10 I considered it a horror movie and a damn good one. People's arms getting blown off, people getting skinned, and getting stalked by something you can't see are elements of a great horror movie. I've had nightmares about it when I was a kid and every now and again still do.
The Fly (1986): The only horror movie I could not watch from start to finish. The last 5 minutes or so is what really disturbs me. It no longer bugs me though.
Honorable mentions:
Jaws: the best scene imho doesn't even involve the shark and is where they're on the boat and the captain is recounting his time WW2 when the Indianapolis ship sank. It chills me even today.
The Thing (1982): The scene where they're testing everybody's blood is so freaky. I so wish I could watch this movie again and again not knowing what happens during that scene but oh well.