I agree with Terry here. I'm not scared easily, so there's not too many movies that have scared me.
Those that did however, were about demons or ghosts of some kind. Probably the scariest were Event Horizon, The Shining, The Ring (embarrassing now...), The Grudge (although I actually laughed at the last scene), and - for some reason I'm not too sure of - White Noise.
All had in common that I still had somewhat of a demon fear at the time of watching them.
Unfortunately, I saw The Exorcist 'too late', and so I didn't find it scary at all. I actually had to laugh several times through it.
The other movies gave me the creeps and made me look behind the closed shower curtains etc. for... I don't know. Demons? lol.