It's a very individual thing, isn't it?
I only like proper supernatural films. Anything with demons or a religious note tends to terrify me.
Woman in Black, Paranormal Activity 1 and 2, Sinister, Insidious and Mama were really scary for me recently. The Conjuring I thought started off really good but the ending was poor.
I watched Drag me to Hell at the cinema with an ex. It was something like our 3rd or 4th date. He confessed afterwards that he spent the first half an hour trying to come up with an excuse to leave - like a pretend phone call from his teenager - because he was so scared! 
Slasher films or "Oh you've got to chop your own arm off" are just yukky, not scary, to me.
TBH the "this could happen to you" type, i.e. home invasions, etc, just put me off because YES it could happen and I don't really want to spend time thinking about that!
Adding a few of the films listed here to my watch list :)