Call me old fashioned but anything Freddy Kruger, Jason, or Chucky related rocks.
I generally only watch horror films in October with the rare exception. But last Halloween I watched a movie called Hell House LLC and it REALLY gave me the heebie geebies. It was kind of a Blair Witch type movie about a group of young entrepreneurs that create a Halloween seasonal haunted house experience only to find out that the house is really haunted. The movie kept me up at night for like a week and any time I think about it... Man now I'm not going to able to sleep tonight!