I'm not an easily scared person, so while I find most horror films entertaining, it's rare that they'll linger in my mind.
One thing that has continued to freak me out is actually an X-Files episode: Detour. Mulder 'n' Scully get lost in the woods investigating 'mothmen' - in this case, invisible men with glowing red eyes. There's one scene in the episode where a little boy is in bed, in the dark, and sees outside his room a set of glowing red eyes approaching him. That freaked me out so much that I had to sleep with the bedroom door closed for months.
I couldn't get through Silent Hill 2 because between the fog, the radio static, and the skittering creatures, I lost it.
Oh lordy, Silent Hill. There's a bit in the first game where you're arsing around in an abandoned hospital, and you have to go down to the basement (I forget why.) Anyway, it's dark down there, and your radio's hissing and making spooky noises, and as you approach the boiler room you hear this godawful sound - it's sort of midway between a roar and a scream. I put the controller down, switched off the console and didn't play it again for almost two months.