I shall take this to mean what is your favourite horror movie, as opposed to what is your favourite film in Halloween movie series which (mostly) featured masked slasher Michael Myers.
I shall give a few examples of my favourites rather then go into detail about one in particular, there is a time and place for that IMHO.
The Cabinet of Dr Caligari (1920)
The film is very atmospheric with a distinctly surreal visual design and revolves around a mad hypnotist (Dr Caligari) who uses a somnambulist (Cesare) to commit a series of murders. The film is very much representing the distrust of authority in the post-great war period and Cesare supposedly is a representation of soldiers conditioned to kill. The unusual camera angles and twisted set design make this film a very memorable affair.
Nosferartu: A Symphony of Horror (1922)
One of the most iconic vampire films of all times and somewhat unique in that unlike most vampire movies, the Count isn’t portrayed as in a romantic sense but more as twisted bat or rat like figure with hands almost like talons and his teeth rodent-like incisors. Again much of the success of this film comes down to the creative use of lighting and shadows and memorable visuals, another influence of the film is that it creates the part of vampire lore which is now considered the norm, Vampires being killed by Sunlight.
X the Unknown (1956)
An underrated gem in Hammer canon with a strong cast (including a young Frazer Hines), which despite the obvious exploitation of X certificate for the title, is a pretty good sci-fi horror playing on the 1950s fears of nuclear war. There are some impressive visual effects for the time such as the melting face even if the visualisation of the threat is something to be desired. Dean Jagger plays the grumpy professor with mighty aplomb, while Leo McKern gives a reliable performance.
The Shining (1980)
Yes, we all know this one is good.
A bit of a grisly affair this time, but an intriguing film with a good central concept even though there are a few glaring plot holes.