I agree with Nordicvs. I had to buy Event Horizon and place it in my collection before the shivers finally went away. The Grudge also was chilling. My girlfriend hated it because she was so freaked out by it.
I dont run away crying from movies, i stopped that when i was 20 :D. JK, i just think some are definantly scary'er than others, for instance The exorcist is scaryer than say...( in my opinion ) Jaws.
John Carpenter's 'The Thing' Probably because the first time I saw it I was like 8 years old and it was quite possibly the scarriest thing ever, I guess it stuck with me. :) It's still kinda scary even now.