The only movie to scare me as an adult (well, 19) was Play Misty for Me, with Clint Eastwood. I actually checked my closets and looked under my bed when I got back to my room. I didn't know what the movie was about, and except for one incident, the first half of the movie wasn't scary at all, and showed Clint and his girlfriend walking along the beach into the sunset. I thought that was the end of the movie.
I was totally set up for the second half.
Now, I've seen some creepy movies since then. Sixth Sense comes to mind. The Others is also a pretty good ghost story, although not really scary or very creepy.
There's a definite difference between scary and creepy. I never found Twin Peaks scary when it was on tv back in the late 80s, but every time the character of Bob came into view the hair would stand up on my arms. That guy was like evil personified looking right through you to your soul.