The film which really scared me was Candyman. I first saw it when I was 14 or 15 (the film was rated 18). However when I bought a DVD of the film last year and watched it again for the first time in 15 years, I was not really scared at all. Guess that's why we have these age classification on films....
The Excorist (1973) is a very good scary film, and make sure you get the version with the infamous 'spider walk'.