The scariest films ive seen did not make me jump but make me think:
28 Days Later - This film made me think 'hey this could really happen'.
The Amitytiville Horror - They say it was based on a real event and seeing this film made me wonder of the sheer terror real people went through.
And finally Ghostwatch - This was a BBC production that may have not got a US airing but the documentary set out made it so realistic it caused wise spread panic with a large majority of the public believing it was real sheer terror at its best.