Most horror movies don't really scare me anymore. I may jump a bit, especially when my wife grabs my arm and grabs a chunk of flesh, but those scares never really stay with you.
For the last couple of years the movies that really creap me out are the good Asian horror movies. Kiyoshi Kurosawa movies like Kairo (Pulse) and Cure. The KIM Jee-Woon, South Korean movie called The Tale of Two Sisters, and the Japanese Dark Water. They all have moments that make my skin crawl, and that feeling stays for a while.
We also just watched The Devil's Backbone last night. That also had some pretty freaky moments, although I made sure that my wife didn't damage me in any way.