Looking at the topic and reading the replies I wonder why so many people mention movies that are not scary, but just gross instead. Let me illustrate my point. A movie like Alien is scary because of the tension and suspense, but not because of the gross-out factor of special effects. When you actually see the various critters, face hugger, chest burster, Queen, it amounts to effectively a release of tension and suspense which yields to horror, disgust and repulsion.
That which we can see, we can deal with! That what can't be seen, the untangible, can be extremely scary!
Most recent "scary" movies are horror movies. They show for the most part an utter lack of suspense, they are predictable and bore me to tears. There is a demographic that loves the gross-out effects in this kind of movie, but it just isn't my kind of entertainment.
Shall we stick with American movies?
Alien (I like the sequel 'Aliens' actually better, because it offers much more action and because it's easier on the nerves)
The Thing (1982 remake with K. Russel)
Altered States
The Brood
The Omen
Seven
Jaws
The Silence of the Lambs
The Innocents
Sisters
Lost Highway
The Night of the Hunter
Psycho
For some reason I find Rosemary's Baby unwatchable and boring.