My tastes go toward the creepy supernatural novels so I agree with a lot of the recommendations on this thread so far. Dark Matter, Naomi's Room, The Shining and House of Leaves left me with a creeping sort of dread.
Heart Shaped Box by Joe Hill is great. The Great God Pan by Arthur Machen and The Willows by Algernon Blackwood are also good.
John Connolly is wonderful. I love his Charlie Parker series, but I'd probably recommend Nocturnes as a starting point. As an aside, The Book of Lost things is a wonderful, creepy adult fairy tale.
Lovecraft is good, though for creepy reads I recommend The Haunter of the Dark and Pickman's Model. Also worth checking out the Welcome to Nightvale podcast as that has echoes of Lovecraft.
If you like the sound of M.R James then my favourites of his were Lost Hearts, Whistle and I'll Come to You and The Mezzotint.
I saw someone recommend a Dean Koontz book. The only book of his that has ever scared me was the first half of The Taking. I wasn't a big fan of the end, but I had to put the book down for a while.
Richard Matheson writes some really good stuff too.
Film wise, I tend to prefer foreign horror these days. My recommendations are Shutter (the original, not American remake), Rec and the De Toro films (Orphanage, Devil's Backbone etc).
If anyone likes podcasts then Knifepoint Horror is quite good.
Wow this is long. Sorry. Can't you tell I love scary stuff?