I am a little amazed to see nobody mentioning "The Exorcist" (Original one). That movie freaked me out! I still get the shivers as I think of some scenes from the movie.
Haha, I hadn't seen the extended cut til a while ago, and I saw the bit with her crawling down the stairs upside down, that was kinda disturbing.
I think the next thing I watched was Omen when I was about 9 or 10, that was pretty messed up. Just goes to show how early we desensitize ourselves to gore and violence quite willingly when we're younger, and because of it are getting harder and harder for the game companies to put the fear into us with messed up gruesome games.