It seems a lot of people are mentioning The Thing. No surprise there, it is definitely one of the best horror movies ever. Nothing more really needs to be said.
The prequel, which came out around a year ago, was also surprisingly good. Certainly not as good as the first, but that would be all but impossible. Despite the high expectations set forth, it still did pretty well. Honestly, the creature was even creepier in the first, having the most grotesque and disturbing scenes of body horror in any movie ever. Definitely worth seeing.
As for films that actually frightened me, they all seem to be ghost stories. My favorite is probably Ghost Story, a 1981 film with Fred Astaire. This is probably the most frightening movie I've ever watched, although perhaps that's just me. There are images from that movie that will haunt me forever, though.
A more recent film is The Woman in Black, also featuring a vengeful ghost. I personally thought that it was fantastic. It has a great atmosphere in it, and the bleak tone really sets the tone for the scares. The end totally threw me for a loop as well, and the ghost was just terrifying.
Oh, one last one. It turns out Ghost Story isn't the most frightening thing I've ever watched. Ever heard of Kwaidan? It's a Japanese film based on the book by Lafcadio Hearn, and it roughly translates to Strange Things. It is a collection of four short movies, each of them a ghost story. Most of them are based on old Japanese legends and have a good dose of history in them, and they're just fascinating to watch, if not frightening. One of them, however...It's called The Black Hair, and it is by far the most frightening thing I have ever seen. Again, maybe it's just me. But God, that was freaky. It gives me chills just thinking about it.
Oh, and that's just movies. If I included books, my already long post would be twice as big. Maybe some other time.