I'll pretty much watch any horror movie. I do actually like Saw and even Hostel, though I didn't care about Hostel the first time I saw it. Something about the characters I didn't care for. I'm oddly fascinated with gore, but it doesn't make a movie.
I particularly like old 70-80s maybe early 60s horror like movies from HG Lewis. A lot obscure films. I've seen I Drink Your Blood. One time they had The Incredible Melting Man on mst3k.
I've seen a couple good Italian horror films like Suspiria and Deep Red. I like Asian horror. Sick nurses comes to mind as a recent one. The original Ring movies, though Ringu 0 was a bore fest. Could've slept through that one.
What do I find the scariest or creepiest? Films like Paranormal Activity (first 2, not afterwards, the 3rd wasn't subtle enough, so it wasn't scary.) Blair Witch. The Last Exorcist. I just love the found footage based ones, because they leave a lot to the imagination and your mind is always ALWAYS scarier than anything, so the less you see and the less you know, the scarier.
One of the things I liked about older horror movies is that they didn't use CG. Nowadays when they use CG, it doesn't look tangible. Like it's not really there, but in the 70s and 80s, they used puppetry and all sorts of physical objects for monsters and such. The less CG the better, I say.