The Blair Witch Project scared the bejebus out of me. I watched it with my husband and my friend who I share an office with. The whole "Standing in the corner" bit freaked me out so much that they took it on themselves to get me over it. For like, a month, I couldn't go out of the living room to get a cup of tea without coming back to find my husband standing in the corner. Similarly, at work, I couldn't take a break without coming back to see my friend standing in the corner! They are so MEAN. But it was kinda funny after a while.
For me, the scariest film ever is "The Shining"... basically because it's psychological, and Kubrick has enough strange randomness that you just can't even tell what's scaring you. He manages to make a boy riding a trike around a hotel scary. It's cinematically a great film as well.
Other scary films... "The Omen," not the new one, but the original one, is just terribly scary. I saw that at a young age and it still scares me.
"Rosemary's Baby"... hmm it seems to be the devil I find scary, but there's just something about the banality of evil that is just terrifying in that. It makes me freaked out to walk around my house at night.
Also, I found "The Mothman Prophecies" very scary. VERY SCARY. Don't watch the extras on the DVD though, they're just stupid!
I guess what I find scary is the irrational... things which aren't explained, so the terror component is not tied to a physical practicality... like a pet cemetary or an escaped lunatic. That way, it could happen anywhere.