The first one to really give me a scare was The Sentinel (1977). I saw it in '79, when I was 7 or 8 years old, and it gave me nightmares for days. But the one that really got me was Halloween, which I saw during its TV broadcast premiere in '81. I haven't been scared that badly by a movie since -- and I saw it at a friend's house and had to walk home in the dark afterward. To this day, it's still the scariest movie experience I've ever had, and while it doesn't scare me now, some thirty years and a hundred + viewings later, I can still watch it and remember very clearly how badly it scared me way back when.
The only movie I can think of that's come as close to actually scaring me as badly as Halloween is The Blair Witch Project. By that time I was almost thirty, and I hadn't been scared by a horror film in years, but that one, man... I remember about halfway through my gut started to tighten up and I knew, this was going to be one to remember. Then when she goes down the stairs and sees Michael standing in the corner, my gut just dropped. I remember actually shivering and making some kind of audible "ugggghhhhhh" type of sound.
It still didn't scare me as much as Halloween -- again, I was ten, and you can only get that kind of scared as a child -- but it did come close.