I am generally desensitized to most horror films...the gore does nothing for me, it has to be suspenseful. I saw it at the theater as a kid...that was the best.
I like movies like Se7en, Silence of the Lambs, Hannibal, (Red Dragon was ok), and most recently SAW.
In SAW there were a couple of scenes that had me bracing the armrest. One in particular was wherein a victim is racing against the clock to remove a spring loaded clamp wrapped around her head. Once the time runs out, the clamp will spring open, ripping her head to pieces. In order to open the clamp she must retrieve a key buried her cell mate's stomach. It was a pretty intense scene.
I also thought the way the movie ended was clever.