Alien and The Shining, definitely.
But the one that still scares the living ***** out of me is:
Ju-On / The Grudge
Edit:
Tied for honourable mention — 28 Days Later and 28 Weeks Later.
Hmm, never heard of
The Grudge. Will give it a try when it crosses my path.
Alien and The Shining are both timeless classics (as is Jaws, but that movie is giving me only creeps when I think about it when swimming in the sea, lol). I would love to say flawless but the table scene in Alien where it rushes over the dinner table just didn't hold up FX wise and looks a bit silly nowadays - the rest is perfect imo. And I don't like the supernatural aside in the Shining (not that they get delusional over the time but that there are supernatural forces at work (opening the locked door when he's imprisoned).
28 Years later is probably 14 Years ago since I've seen it, should revisit.
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I am not sure I have seen Henry or either Last House movie
Henry is filmed docu-style. Pretty niche title from around the 80s I'd say. Can't really recommend it but it sure is one hard to stomach movie, no nonsense.
Same with Last House (original, no interest in the remake), which is rather graphic and devulges into the fantastic at last (pretty sure Tarantino watched it and I think it gave an idea to TCM...lol).
Both are basically shocker, especially Last House, that aim at your gut.
I forgot to mention Night of the Living Dead (zombi flics are their own genre for me

), which is also a timeless classic and Zombi by Fulci which is the best (pulp) Zombi flic there is in my opinion. Pretty gory and fantastic. No happy ending (which Alien and The Shinging and Jaws both have (if not taking all the casulties along the way into account

) which makes it pretty grim. In fact all Fulci films have grim and depressing endings which I think fitting to the general theme. Prince of Darkness too IIRC.