For me, that depends on my age and the circumstances when I saw a particular movie.
As a child <12:
I enjoyed being 'scared' by such movies as Frankenstein, The Wolf Man, Dracula, Dr. Jekyll and Mr. Hyde. These held my imagination, were just the right amount of 'scary', but didn't cause nightmares. In short - a lot of fun. But then there were 2 that scared the crap out of me. After seeing The Creature from the Black Lagoon, I couldn't go swimming for a month - and I loved swimming. Then there was The Blob. Wouldn't walk home alone in the dark after that one for weeks.
As a teenager:
Psycho and Straightjacket absolutely made me jump out of my chair during the scariest scenes, but they had no lasting fear effect like the 2 movies mentioned above. IMHO, Hitchcock is the all-time master of suspense.
As a young adult:
I'd have to go with The Exorcist for lasting effect and Aliens for making me jump out of my chair. Both, however, had more effect on the people with me at the time. I saw the Exorcist with a group of friends that included an Hispanic Catholic. He came unglued during the movie. He had to go to the 'restroom' at least half a dozen times and he always made someone go with him. He had brought a small flask and took a couple of belts in the lobby each time - never made it to the restroom. (We were in our early 20's) Some of the others started teasing him, but I stopped them cold because I could see the look of abject terror on his face. He was a very strong Catholic and absolutely believed in demonic possession. As for Aliens, the 3 people with me all had left for a few moments (2 girls to the restroom, 1 guy for popcorn and drinks). So there I sat in the theater all alone (well, no one close by) and that's when the alien pop's out of the guy's chest. I must have jumped 3 feet in the air - way cool, but no lasting effects. The others missed that scene, but the rest of the movie really made them squirm. I, however, enjoyed the suspense, but no major 'scare' - I'd already been had - nothing else to 'get' me.
As an older adult:
my ex - nuff said. (I just wish it had been fiction)
I guess that's the main appeal of scary, horror type flicks - that moment of being 'had' - like when a friend sneaks up on you and yells 'gotcha'. It's the adrenaline rush of the moment, then the relief that follows. I've never really liked the gory stuff - all blood and guts, too little suspense and/or story line - nothing to grab the imagination. (yeah, I was 'had' by my ex)
JMHO
The Hills Have Eyes
>>I saw the Exorcist with a group of friends that included an Hispanic Catholic. He came unglued during the movie.
I can empathize with your buddy. My brother and I watched maybe 20 minutes of it before we shut it off (our eldest brother watched the whole thing). I've never seen it again and really have no desire to.
THAT movie scared me into prayer. No other movie has done that.