I really have several favorite scary movies, but this is keeping in mind that sometimes what i find the most frightening is having to think deeply and obsessively about serious things like society and mortality. So, you're not allowed to laugh:
Tommy (the rock opera) I watched this movie when i was 12 and it scared me so badly i wouldn't watch it again until i was almost 18. It gave me frightening insight about society, and people in general. And the whole idea of retreating inside of one's own mind to escape the madness of reality! It was deep, scary deep. The things i came away with from this movie were things my poor little 12 year old brain weren't ready to wrap around yet.
A Clockwork Orange
The fear effect in this one really was much more intense in the book, but the movie with its surreal music, characters, and visuals was pretty frightening too. The Ludivico (sp?) treatment that the protagonist, Alex gets, flashes of violence and death, at a point in the movie where the viewer in completely engrossed makes it feel as if one is in the chair forced to watch them as well.
Psycho: Yeah, the fear effect in this one was your classic horror storyline. Lots of psycological terror in this one.
Both Saw movies: yet another film with that strong element of psychological terror. It made me contemplate what i would do if i were in the same situations as the victims.
I don't know the name of this movie, and it would be a great help if anyone else could tell me. It might have even been a short. It was an animated film about this elderly couple in England right after a nuclear attack. They're completely naive about how to live and make every decision based on a book. But they get a few things wrong, don't have enough supplies, and eventually both succumb to radiation exposure and die. What made this movie so scary was all the horrible things that were happening to this jovial, cheerful, naive elderly couple. In all honesty though, anything pertaining to nuclear attack has always scared the shit out of me.
And those are my movies, so there, dumb as they may be.