I'm more into high fantasy, but I will watch horror films, I will watch anything.
The ones that have scared me would be The Last Testament of Rosalind Leigh. My style is more suspenseful and things that go bump in the night, even better if it has some character development, rather than super violent. I like a lot of independent films with unusual, eerie ideas.
Rosalind Leigh is more of your atmospheric haunted house film with strange vistors, it might be slow to some but it just has that unnerving feel underneath. Yellow Wallpaper is another that raises the hairs on my neck for similar reasons. Another haunted house flick I like is called The Abandoned about a woman who was adopted and returned Russia to discover her heritage. Tge closet scene is the one that made me yell. I liked The Witch too. Its overall more of a drama, but the barnyard scene made me bite my nails.
I like the Maid, a film that takes place during the Chinese New Year when the boundaries between worlds are said to be thin and spirits get lost. Ghost stories are always something I am up for. There's a classic Japanese film called Kwaidan based on the collection of tales about the supernatural, folklore and yokai of the same title. Its amazing.
Another foreign classic is Diabolique. If you have seen it then you'll know what I'm talking about when I say bathtub :)
If you like Alfred Hitchcock then you might lime that one.