Forget films. They're rarely there. Although the original Poltergeist, 13 Ghosts, Woman In Black (first one, with Harry Potter in it), Jessabelle, and the Conjuring can be pretty good though.
Having said that.
Play Amnesia the Dark Descent. Fuck watching films. Black out curtains up, no lights, headphones on for all, or just turn up the surround sound. Or just watch a lets play (Gopher, I think is the best. He's not scared easily, and has a fantastic, non jerky, low mouse sensitivity playstyle).
A Machine for Pigs isn't as scary, but it's up there, as is Outlast; Whistleblower.
Are those for consoles or PC?