When I was a kid, Phantasm was one I had to watch from behind a pillow.
But I agree with Twulf; The Exorcist still messes me up. I haven't yet been able to convince myself to watch the director's cut they released several years ago.
Event horizon scared the hell out if me. Was a kid when I saw it in theaters and had to leave. Only movie I walked out on. When he was possessed saying we don't need eyes where we're going
The one movie I remember being scary enough to make me walk out, I was about 9 or 10, and it was a summer movie thing they were doing at our elementary school. The movie was King Kong, the 1933 black and white version. Looking back now, the effects are hysterically bad, but at that age in a dark room, the music and the scenes were shocking.
As an adult, definitely The Exorcist. The famous house next to the stairs was across the street from my dorm, and I watched them filming. Even did a screen test to score a job as an extra, but to no avail. A year later the movie came out, and after leaving the theater that dark and stormy night, I nearly wet my pants in fear.
As a kid, it was a toss-up between "Invaders From Mars", "The Day The Earth Stood Still", and any Dracula movie.