+10 Internets to Bulldog Mick for tossing out "It's the Great Pumpkin, Charlie Brown". I still love that cartoon, and I never allow a Halloween to pass without watching it.
Some of my favorites - The Exorcist, Jaws (not a Halloween movie, but my favorite movie of all time), Young Frankenstein (that is a MUST watch every Halloween), Creepshow, the original Psycho with Anthony Perkins, Halloween, Beetlejuice, Trick r' Treat (really good, give it a watch), Frankenstein (with Boris Karloff as Frankenstein's Monster of course), Stephen King's IT, the original Nosferatu, The Evil Dead, Poltergeist, John Carpenter's The Thing and In the Mouth of Madness, The Omen, The Shining (the original, of course), Bela Lugosi's Dracula... there's just too many fun horror movies to watch at Halloween.
If you are a Netflix subscriber, there are a ton of pretty good, low-budget horror movies that you might never watch or even hear of, such as Death of a Ghost Hunter, Session 9 (very low-budget with some laughable David Caruso acting, but still a great psychological horror), and The Innkeepers, and many more.
At the very least, give Session 9 a shot; if you enjoy psychological horror, you will probably love it.
Happy SPOOOOOOKING!