I'd have to go with "Don't Look Now" first and foremost. It combines some of the most horrific components in existence: the 70s (with that decade's requisite bad hairstyles and fashion), artsy-fartsy cinematography, and full frontal nudity by Donald Sutherland. Yikes! All kidding aside, though, this movie is genuinely frightening and has lost little of its edge over the past 25 years (if you can get past the 70s stuff).
Another outstanding work of horror that often gets overlooked is Lars Von Trier's "The Kingdom", a Danish horror soap opera that takes place in a haunted hospital. I know, it sounds terrible but it is incredibly textured and frightening and humorous. I'd trade "Twin Peaks" and "ER" for a show that combined the best elements of both, wouldn't you? It's out on video and well worth tracking down.
Other good ones that people might not have seen: "Repulsion" (starring Catherine Deneuve), David Lynch's "Eraserhead", "Devil's Backbone", "Audition", and "The Shining".