For good general creepyness it's awfully hard to beat In the Mouth of Madness, and another of my all time favorite horror movies, John Carpenter's The Thing, with Kurt Russel, it's just great.
I have always deeply loved zombie movies, but they're not really scary to me, just awesome.
Of the Exorcist movies, the 3rd one with George C Scott and Brad Dourif was always my favorite. It was written and directed by Robert Bloch, the writer of the first movie. Good stuff.