I think the Exorcist is pretty scary, because it's not just the prospect of dying a gory death that confronts the characters, but possession by the devil. Also, I often find movies featuring serial killers disquieting, although this theme is wearing thin from overuse. Mummies (the bandaged kind) used to scare the sh*t out of me. I saw one in a Superman cartoon as a kid, and had nightmares for weeks (always the same one). Then, as a teenager, I was left alone at home one night, and made the mistake of watching a movie about a mummy that was recovered from under the sea. The sarcophagous 'breathed' when something evil was about to happen. Scary stuff at the time. The bald guy on Thunderbirds whose eyes lit up REALLY freaked me out, especially when his eyes lit. Finally, there was an episode of Lost in Space that gave me nightmares too (as a kid). You know how they always end each episode with the appearance of the threat that will feature next time? In this case, it was a kind of big beetle like thing with antennae with spiked balls on the end, advancing on Will and Dr Smith menacingly. I imagine it would look kind of ridiculous if i saw it now. Sorry to rave on - a lot of this stuff came back to me once i got started...
David