There are lots, depending on what your definition of "horror" is...
The Shining and
The Exorcist are probably the best haunting/possession-types;
The Hills Have Eyes,
A Nightmare on Elm Street,
Halloween and
The Texas Chain Saw Massacre are my favourite violent slasher-types (although the sequels to those are almost all pretty terrible, with a couple of exceptions); some people consider
Alien and
The Silence of the Lambs to be horror, and they're two of my favourite films... and that one scene (you'll know it if you've seen it) in the original Japanese
Ring actually scared me so much it felt as though something broke slightly in my brain, and I've not managed to bring myself to rewatch it yet. I wouldn't call it my
favourite horror movie, but it certainly bothered me the most.
But overall I think my favourite has to be
The Wicker Man (and I'm not talking about the Nic Cage version

) because it's just so unique and unsettling and the ending is one of the very best things ever put on film, ever (and Christopher Lee, who is absolutely brilliant in just about everything he's ever been in, gives probably the best performance of his career).
(Which version of
Dawn of the Dead did you mean, Till? I love the old Romero movies and I've heard surprisingly good things about the remake, but the fact that it's made by Zack Synder really puts me off seeing it.)
In a similar vein: your favourite Western?