It depends, a lot of the classics are great...but they don't usually scare me much.
But then a lot of the modern ones show you this epic preview and then fall short of what you're expecting.
I know most of my favorite modern horror movies tend to take notes from Asian horror films rather than western ones. I guess when you watch as many horror movies as I do, you tend to get a little....desensitized to the more common themes.
Some of my favorite horror movies are: The Unborn, Mirrors (this one coupled with the common belief that mirrors can act as a gateway for the dead to enter our plane of existence STILL makes it so I literally can't walk by a mirror in a dark room), The Ring, Silent Hill, Nightmare on Elm Street, Saw (all of them), the Hostel series, The Shining, a newer version of The Wailer (La Llorona) that we rented from Redbox a few years ago, and zombie movies of any form.
I was really impressed with The Wailer especially, the props and special effects were cheesy, cheap stuff but the way they used them was absolutely terror inducing...a great example of how even low budget movies can be phenomenal if they're done right.