The scariest film I've watched is Ringu. I think Asian horror movies are probably some of the scariest films, they seem to do horror very well. Some horror films are just gory and full of jump-scares, but I prefer films that are more psychologically scary, the ones that make you think and stay awake at night with weird images etched into your brain...

I would also recommend:

Audition
Oldboy (thriller with horrific elements)
Tetsuo: The Iron Man (insane cyberpunk body-horror)
Guinea Pig 1 & 2 (uncomfortable body-horror, not for the sqeamish)

Non-Asian films:

Eraserhead (classic David Lynch madness)
[REC]
Nightcrawler (not a classic horror but psychologically disturbing)

Comedy horror and slasher films:

Evil Dead 2
Hausu (insane 70s Japanese comedy horror)
Tokyo Gore Police
Yakuza Apocalypse (Takashi Miike vampire ninja slasher)
Ichi the Killer (More Takashi Miike madness)
Gozu (Takashi Miike again)

Honourable mention for the most weird and fucked up film I've probably ever seen goes to:

Visitor Q (as you can tell I like films by Takashi Miike...)