Definitely The Exorcist. Bar none the scariest movie I've ever seen; I can't watch it again to this day, it freaks me out so bad. Serioudly, I will see little clips of it on TV, and get nightmares of her coming into my room and talking to me in that demon voice! Yikes!
Oh, I should mention The Shining, too (Stanley Kubrick's, not that made-for-TV-miniseries crap) The old lady in the bathtub gave me nightmares as well, I thought she was coming to get me when I was sleeping!
I agree with Greeneyedangel on the most part, I can get creeped out by special programs on A&E that talk about real murderers, psychos, etc.