I really am not much of a scary movie fan, I don't thrive on traumatizing myself I do however like suspense here and there. My first introduction was "When a Stranger Calls" and the sequel, both were great suspense.
As for movies that scared the hell out of me and left me loving it? "The Ring" and "The Ring 2". You haven't lived until you've seen a big beardy man quivering in fear on the porch after a movie