Alien is pretty fucking scary the first time you see it, and there’s not much gore at all by modern standards.
John Carpenter’s The Thing was scary for psychological reasons. The gore unfortunately worked against it – I found myself laughing in the scene when one of the men morphs into a Thing and starts eating one of the other guys head first. I don’t think that was the response Carpenter was aiming for.
Night of the Demon scared me when I was young and had virtually no gore.
Final Destination 2 was the first movie that made me want to leave the room.
ahh the Thing. Just remember to watch it in the dark in the middle of the night so the feeling of isolation can totally work through your mind. Good flick.
I thought The Prophecy was very cool. Christopher Walken is great as the angel Gabriel. It’s not gory…a little blood but not much.
Lord of Illusions is not particularly good (as stated before) and has quite a lot of blood so you may want to pass on that one.
Event Horizon has one scene that freaks me out a bit. When the crew reconstructs the log from the possessed ship and they watch the video…there’s some pretty disturbing images in that few seconds. Beyond that the movie is just a rehash of one of my favorite bad, really gory horror/sci-fi movies, Galaxy of Terror. 
There’s a movie called Society that is kind of cheezy and weird but disturbing in an ‘everyone’s out to get me’ sort of way. Also the ending just really is bizarre.
I’ve seen Perfect Blue. I don’t rate it. I have the Japanese version of The Ring, yet to watch it.
28 Days Later… nice, but a poor second half. Great build up/premis. This goes for Shallow Grave, also written by and directed by and starring the same guys. Erm, let me see if I can remember… Andrew MacDonald and Danny Boyle and Christopher Eccleston respectively, I think. Do still recommend Shallow Grave though.
Man Bites Dog. Not a lot of horror, but boy when it hits does it get you by the balls and drag into a place you really don’t want to be.
SPOILER BELOW:
I’d agree with a lot of the films posted above, but I want to throw in David Lynch’s Lost Highway , for the bit at the party when the creepy little bald guy asks Bill Pullman to phone him, on his mobile, right then and there at his (Pullmans) house. Pullman calls his house and the bald guy answers, while still standing in front of him and tells him “I told you I was at your house, now give me back my phone.”
and then laughs at him in stereo.
one bit out of many in a film that baffled me, as well as thoroughly creeping me out. I’d only put ringu above it.
Angel Heart with Robert de Niro, Mickey Rourke, and Lisa Bonet kept me up nights.
Great suggestions! I’ll add my voice to The Vanishing, The Shining, and The Haunting (original movie versions of all three). Each of them has at least one scene that’ll scare the crap out of you without a drop of blood.
I love scary movies, but there’s only one movie I’ve ever walked out on because it was freaking me out too much: The Cook, The Thief, His Wife, and Her Lover. Maybe it’s just my own personal neuroses, but I couldn’t watch more than twenty minutes of that. Sex and terror just don’t mix well for me.
I did walk out of Reservoir Dogs during the obvious scene, but tha was on a second watching; I managed to sit still for that scene the first time through :).
Daniel
Speaking of sex and terror: Boxing Helena.
No-one mentioned The Mothman Prophecies?
Pretty tingly.
The Ring belongs on the list for sure.
BIG TOP PEWEE…scared the hell out of me.
I don’t know if it counts as a horrow movie… it’s a Stephen King, so maybe it does…
The Green Mile.
it scarred me. it’s the only movie that’s ever given me nightmares. My whole body tenses up just thinking about it.
Following is an excellent example of a good psychological horror film. It was written and directed by Christopher Nolan, the man behind Memento. It’s about a writer who decides to start following random people on the street, but starts going too far.
Thesis, is a Spanish movie about a graduate film student researching the disappearance a few years earlier of another student, with the implication that there might be a connection to snuff films. Most of the violence occurs off-screen, with the camera focusing on the reaction of the actors, and is more horrific as a result.
Anatomy is a German movie about a medical school student who begins to suspect that something not quite in line with the Hippocratic Oath is going on at the exclusive medical school she is attending. The comment at the bottom of the page calls it a failed slasher movie, but that misses the point. It isn’t a slasher movie; it’s about someone who finds herself trapped in a terrible situation, unable to find help or someone she can fully trust.
Funny Games has perhaps three or four acts of violence in the entire movie, and those occur chiefly off screen. Two clean-cut looking young men wearing tennis whites stop at a vacation home to borrow some eggs, and proceed to terrorize the family that lives there. The movie actively flouts American conventions, and the horror is entirely psychological.
And I’ll add my vote for The Vanishing. Possibly the greatest ending the genre has produced.
Another vote for The Vanishing. This movie was perfectly creepy and chilling, yet IIRC, there was no blood and next to no violence.
Am I the first to vote for The Night of the Hunter? This movie scared the urine out of me when I was a kid, and it’s still luridly fascinating, even given its obvious flaws. Robert Mitchum’s psychopathic preacher is about the most frightening character on film, especially in that wonderful silhouette shot of him riding unhurriedly in pursuit of the children against a dawn sky.
“Don’t he never sleep?”
I suggest Picnic at Hanging Rock, about the disappearance of two schoolgirls during an outing in 1900. Haunting music, beautiful photography and a feeling of dread throughout most of the film. I can get chills just thinking of the music.
Another vote for The Changeling. Loved that movie, every part of it. Gives me goosebumps thinking about it. If you enjoy a good suspense movie with a slow build up that doesn’t go for the “cheap scare”, rent it.
[off-topic]
Obviously the network censors have never read Native American creation mythology (Specifically, Iroquois). I knew I’d seen that reference before. [/off-topic]
Oh, yes—DEAD OF WINTER with Mary Steenburgen—Had me climbing the walls at 2 in the morning.
Ditto for Picnic at Hanging Rock. It’s my all-time favorite film for its haunting beauty and creepiness, and the mystery to this true story.
Silence of the Lambs, a thriller that doesn’t need the gore for its impact (it’s a nice bonus though)
Audition - "nick nick nick " 
The Conversation also freaked me out.