Alien is no doubt the best. You're seeing the monster for the first time and watching people get plucked into the rafters or go down in a badly miscalculated attack. But I think the maximum amount of willies is on seeing those cocooned, pleading for death, and when it doesn't come or doesn't come soon enough, watching an alien break out through the bars of their ribcage.
I like all of the rest of the, and I think Sigourney Weaver has made a fortune from them, but her presence is always strong, and the movies wouldn't be the same without her.