I don't watch too many horror shows, but I do like psychological thrillers
. I think my favorite was The Shining, followed by Silence of the Lambs.
Blue Velvet was creepy too. 
Silence of the Lambs is a great, great movie. When I watched it again for the first time in a few years, a few years ago, I became aware on how much influence that movie had on the 1990's. Especially on one of my favorite shows of the 1990's, the X-Files.
The Shining really should be on my list as it makes no sense and has gore by the bucketful. It does have a plot but it is a nightmarish plot. I'll have to give it another look. My problem with it has always stemmed from The Shining has been one of the scariest books I have ever read and I don't think the movie does it justice.
Blue Velvet is one of my favorite movies. It certainly is nightmarish. I am a big David Lynch fan. I have just been rewatching Twin Peaks, only three episodes left. I really like Mulholland Drive too, I think that is his best movie that I have seen to date. I have Inland Empire on DVD but haven't watched it yet because I tend to be a pleasure delayer. I figure after I finish Twin Peaks I'll pop that in.
Which brings me full circle in this post because along with Silence of the Lambs, I think Twin Peaks had one of the greatest influences on the entertainment of the 1990's.
I have many favorite psychological thrillers and that should probably be it's own thread one day.