Most of the classics (Exorcist, Rosemary's Baby, etc) have already been mentioned so here's some others that I have enjoyed:

The Descent (2005, UK version)

The Vanishing (1988).

The Lodge (2019)

Kill List (2011)

(and I'm counting two Ari Aster shorts as one: The Strange Thing About the Johnsons (2011) /Munchausen (2013), both on YouTube)

I found Funny Games (1997) too disturbing and couldn't make it through, so does that count as a good horror movie?