Most of the time, horror movies tend to be too campy, scare factor is dependent too much on sudden loud noise, too much blood and gore, and mostly just plain old stupid.  But there are some that are worth checking out.

Exorcist is probably the perennial favorite of all Horror movie fans.  I more or less liked all four installments of it.  The original one is maybe the best.  I even went to see the stairs at Georgetown University where (in the movie) the protagonist kills himself at the end.  Actually, I liked the 2000 release of Exorcist more than the original one - that particular scene where she crawls down like a spider made me jump out of the chair.  I did not like Exorcist II (the one with Richard Burton) so much.  The Exorcist III was better.  It had George C Scott in the leading role and he did a wonderful job.  The fourth one is actually a prequel and it was surprisingly pretty good.

While we are talking about horror genre, here are the names of a few that I enjoyed, besides the one already mentioned above by Dautari (except for Scream trilogy, am not a big fan of slasher movies).

- Mothman Prophecy (Richard Gere gives superb performance)

- The Others (the twist at the end was so awesome, I heard it has been copied ditto by one of the Hindi movies)

- The Shining (yes, yet another scary story from Stephen King)

- The Ring (I actually liked the American version, the original Japanese version was so so, perhaps I was expecting too much)

- Stir of Echoes (Kevin Bacon is in it)

And there are some that are just fun and not that scary, like:

- Jeepers Creepers I & II

- The Locker (this one is Japanese)

- Evil Dead (the director of Spiderman trilogy, Sam Raimi, made this back in old days)

- Blair Witch Project (you might want to take motion sickness pill before watching this one)

These are all I can think of right now.  Please add more if you know of any that is recommendable.