This is the question echoed by the freaky, ghost-faced killer in Wes Craven's "Scream" franchise (there are four of them, as of now, with an MTV series in the early planning stages). And, truth be told, "Scream" was pretty scary. But it was also funny. And now feels sort of dated. In fact, the amount of honest-to-god scary movies that you could probably name, if confronted by a sinister phone call, is probably pretty small.
In the spirit of Halloween, however, we wanted to single out those movies that really are scary, the ones that still give us trouble sleeping. And we've gone for mostly off-the-beaten path movies, although a few classics have snuck in there (even if it would have been nice to include more, Tobe Hooper's "Texas Chainsaw Massacre" I'm looking at you). It goes without saying that this isn't intended as any kind of definitive survey; we've kept things pretty modern and American (again: seek out South Korean horror epic "I Saw The Devil" if you need an extra scare), in the interest of space and reader attention spans.
Still, if confronted by a darkly-tinged phone call this Halloween and the voice at the other end of the line asks what your favorite scary movie is, at least you can watch some of these and maybe have a better answer.