For some reason, my parents let me watch the IT miniseries when it came out. I was about nine or so, I think. Hands down, the scariest movie I have ever seen. It gave me a lifelong fear of bathtub drains and clowns.
Again, for some reason I can't explain now, I watched The Exorcist (alone, at night) when I was out of town visiting a friend in high school. It was scary, but mostly because I was alone in an unfamiliar house on the outskirts of a small Podunk Texas town. It still didn't hold a candle to IT.
The Grudge I saw when I was much older. It didn't bother me nearly as much as the other two.
I agree with Ameli - I'm most scared of serial killer/mentally-ill-mass-murderer/vengeful-criminal movies because I feel like there are enough of them that I might actually encounter one. (I don't think I'm interesting enough for a ghost to want to mess with me, and I hope to die as soon as a zombie apocalypse starts, so I don't worry so much about those.)