Scariest film I ever saw was The Blair Witch Project. That said, I was around 16 when I saw it, on my own, at night, in my room. With the lights off and curtains closed.
Anyhow, I highly recommend it, it's a great film and also extremely scary, especially near the end. The film was made more scary because the emotions shown by the 'actors' are completely real, the crew never warned the actors about most of the stuff they did to creep them out in the shooting of it, so the actors didn't know what scares were real and what had been faked by the film crew for the purposes of filming...