There was really only one movie that truly scared me as a kid, and that was Candyman (the original). Seriously, I used to watch all the Friday the 13th's when I was a very small child -- for whatever reason, I was obsessed with Jason and went as him for like 7 Halloweens in a row -- so I wasn't an easily-scared-from-movies kid growing up, but Candyman scared the shit out of me. It's a solid movie, and to me one of the scariest, but that doesn't necessarily make it my favorite.
If I had to pick a personal favorite, I'd probably pick The People Under the Stairs, not because it's scary, but I just loved that movie growing up. I must have rented that 100's of times.
Texas Chainsaw Massacre is also up there for me. And Poltergeist. The original Halloween I also love. If I have to pick from the list, I'd go The Shining.