My favorite horror movie, just in terms of movies in general, is the original Night of the Living Dead, hands down, because it's one of my favorite movies of any kind. Incidentally, I'm going to see a play adaptation of that tonight, which kind of disappointed me when I found out it existed, because I had hoped to be the one to write it.
My favorite creepy horror movie is probably Frailty. There really aren't that many horror movies that creep me out, though I still love them, but that one did. Great little movie.