If you really want a scare, rent a scary talking book (books on tape), turn down the lights, and let your imaginations soar!! A good scary tale told by a deep, versatile voice, can send your adrenaline glands into hyperdrive!
Of course, movies are also great since they probably are shorter - several of my favorites have been listed here already, and Dadcat just sugestd getting some older movies your friends may not have seen, in Black & White - specifically The Haunting of Hill House. We both got pretty creeped out by a movie called "The Cube" (I think that was it's name.)
Ah, here's a webpage to check:http://www.horrormovies.com/flash_home.html
Have fun!!