I don't do scared by any films but the scene in Misery where Kathy Bates breaks James Caans legs is very chilling. It's an even better scene again in the book.
The only time I've had the **** scared outa me in a cinema was when I was courting the missus. Some cheesy horror film was on. We got there 10 mins late, so the lass with the torch hadda show us to our seats. Already started on me popcorn I wasn't paying attention and forgot we were upstairs. And that the aisle split left and right. Went right over the top. Lands on some poor bastard who screamed. Covered people around us in popcorn who also screamed. Can still hear my missus pissing herself laughing. I shoulda spotted the signs then really.
Alien is another piece of genius. I saw that movie way earlier than I should've, it scared the absolute **** out of me.