I absolutely love anything "Found Footage", so my favorites tend to fall under those.
[Rec] is probably my favorite, followed by Paranormal Activity. Blair Witch is up there also, but mainly because I caught that in theaters amongst all the hype.
I do have a soft spot for the first few Friday the 13th and Nightmare on Elm Street movies because my sister used to let me watch those with her friends when I was 6-7 years old. They scared the living shit out of me, but it was still fun to try and prove to her and her friends that I was 'man' enough to watch them.
Shit, I almost forgot Trick R' Treat. It's not the scariest, but I love the atmosphere and sets of that movie. Plus, it also has that fat kid from Bad Santa in it, so there's a bonus.