I'm a major wuss when it comes to scary movies. It doesn't take much to get my overly active imagination going, so I have to avoid scary movies because they end up causing me too much anxiety. I don't mind suspenseful films, film noir, that kind of thing, but I have to avoid actual scary/horror movies for the most part.
Poltergeist was the first scary movie I ever saw and it scared the shit out of me. I was 13 at the time. I couldn't sleep for weeks after seeing that movie and vowed never to see another scary movie again.
About a year later, a school friend invited me to her birthday party at her dad's TV and VCR store. It was the early '80s and big screen TVs were just starting to flood the market. When I got to her party, about an hour late, she and a bunch of her friends were sitting in front of one of her dad's big screens, watching the end of one of the Halloween slasher movies. I have no idea which one. All I remember is sitting there, watching the end with them, as the slasher guy crashed through a big French window, completely unexpected, to attack the young, attractive couple in the house. My mom's house has French windows, so that similarity was enough to keep me sleepless and deathly afraid to be home alone for the next month.
I didn't go see another truly scary movie until my friends dared me to see the first Blair Witch Project movie in the theater with them. I know most horror afficionados think this movie is absolutely ridiculous and not scary at all, but it did the job for me. The whole 'documentary' aspect of the film, the palpable horror of the characters in the movie...it scared me shitless. ...Well, ok, maybe not shitless, but sleepless for at least a good two weeks.
I've tried to watch other horror flicks at home to 'test my mettle,' so to speak, and see if I can make it through. Most of the time, I can't. I've tried to make it all the way through The Shining, but it's not gonna happen. The same with The Exorcist, and I can barely make it past the first few scenes of The Amityville Horror (the original, not the remake). When I was a kid, even the tv commercial for The Texas Chainsaw Massacre (again, the original, not the remake) use to scare the bejeezus out of me.
Besides Poltergeist and The Blair Witch Project, probably the scariest movie I've been able to watch all the way through was The Silence of the Lambs. I don't really consider it a horror movie because of the crime drama-suspense elements to it, but it sure as hell scared the crap out of me the first time I saw it. I was dating my college boyfriend at the time and he came over to watch the video with me. Afterwards, I wouldn't let him leave and told him he had to stay the night because I didn't want to sleep alone.
I've gotten better over the years and can make it through Silence of the Lambs now without needing someone to stay the night. But anything scarier than that and I'm a lost cause.