In terms of film a lot of the more traditional stuff doesn't get to me, though there are a few really creepy Japanese films, like A Tale of Two Sisters. As for American horror one of the finest examples, in my opinion, is Halloween. It's much more subtle than many of its detractors give it credit for, and is one of the archetypal slasher films for a reason.
Actually one of my favorite horrors of the past couple of years is Marble Hornets, that is the first 27 or so episodes, the first season. It's on youtube and there are playlists with everything, it's just a really well done real life horror, even if you aren't scared of the Slenderman there is still a lot of good tension and decent mystery.