Personally, for me, I love the suspense of it all. I like being made to jump when I don't know it's coming, much more than I like guts and gore. Below are a combination of movies that made me jump and movies that scarred me for life. haha.
Exorcist. This one definitely falls into the scarring me for life category. If you've never watched the Exorcist uncut, do yourself a favor and keep it that way. Seriously disturbing. I had to choose this picture because it was the least creepy and I didn't even want to look at the others.
Silence of the Lambs. This fell more into the category of making me jump, although Hannibal Lecter is definitely one of the creepiest characters ever.
Saw. Too much blood for me. Scarring.
Disturbia. One of my favorite movies. Plenty of lighthearted moments, but also tons of times that had me jumping.
Nightmare on Elm Street. I know tons of people aren't scared by these at all, but the concept of a deranged killer who could get to you in your sleep--thereby making it impossible to avoid him--always scared the living crap out of me.
Psycho. This one made by the master of suspense, which makes it easy to guess which category it falls into. But I'm still a little scarred as well. :)
So, which category do you prefer? Suspenseful horror or scares-the-crap-out-of-you-in-traumatic-ways horror? Any faves I didn't name?