Yes it depends if you can tolerate fake gore - because it is fake you know, no one actually gets murdered horribly.
Alien is a classic for the building of suspense, intrigue and implied threat as you don't get a really good long inspection of the alien, critical if you want to maintain a sense of real threat. Some horror movies show too much of the monster/threat when building suspense, I think less is more.
I like any that have elements of supernatural and mystery that keep you guessing what's going on.
The Shining while being criticized for not being true to the book is actually very suspenseful - I thought anyway.
The Insidious group of movies was pretty scary though I haven't seen the last instalment.
I like American Horror Story for the writing and the stories mainly but it is gory so viewer beware.