Most modern horror movies are rubbish. I've seen fluffy, pink bunnyrabbits who are scarier than modern horror movies.
There are of couse some exceptions. One that spring to mind is "The Others". Pretty scary movie. Spine-tingling.
Of the old ones I'm a huge fan of:
Alien (sci-fi/horror, I know)
Nosferatu (the 1922 version of course)
Psycho (if you're thinking of the remake then you're off your rocker, mate)
Halloween (greatest theme song ever?)
Now don't start thinking of the sequels. Psycho 1 is great, the rest aren't as good. Halloween 1 is great, the rest...no.
But this is of course common knowledge. Sequels (or prequels) are worse than the first movie 99% of the time.