I remember, growing up, I wasn't particularly scared by horror movies. Jason and Freddy didn't get to me. Nor did murderous clowns or slimy leprechauns. For a long time, I just didn't get them. Or I hadn't seen one that was well done and had more than one layer. Maybe I have to rewatch some classic horror films.
I watched Candyman in 2006, and I had to take it back. There could be a horror movie that was more than cheap thrills and gratuitous nudity. Candyman was the first movie that really haunted me.
(Runner-up: Funny Games)