Hmm. I've revised my top five, and also given myself the liberty of a top ten, in no particular order:

Psycho
Henry: Portrait of a Serial Killer
An American Werewolf in London
The Blair Witch Project
The Exorcist
The Thing
The Shining
Don't Look Now
Dawn of the Dead

I can't make my mind up about the tenth one. Alien is a definite contender.