I think Shyamalan's
The Happening was suppose to be a scary movie.
I haven't seen it myself, and I've only heard... well... terrible reviews of it, but maybe it's worth checking out?
The Ju-On series. The American movies
The Grudge (All four of them) are remakes/based on the original series (which consists of two
The Curse movies and two
The Grudge movies).
The Thing (Both the 1982 and the 2011 version, though I prefer the '82). Really good.
The Exorcist, of course. Classic movie that everyone should watch - meaning the early '70s one.
Poltergeist, another classic that everyone should watch. Early '80s.
The Ring (and the Japanese original
Ringu).
That's all I can think of off the top of my head...