I saw Alien as a kid and have never been more petrified by any movie or really anything since. I would have ran screaming from the theater but I was too scard to move! The sense of dread in that movie is just overwhelming.
The Howling also scared the crap out of me, particularly the cabin scene.
I'm also partial to Wolfen, which is a rather stylish horror film.
And as someone mentioned, Jaws. My parents took me to see that right before we went to Florida for vacation. I still swam in the ocean but I never stopped looking for dorsal fins!