I was never allowed to watch horror movies at home as a kid. I did watch some at a friend's house though. We watched the House series and The Shining (which I really love) and quite a few others that don't stick in my head except An American Werewolf In London. I love it still to this day and when ever my kids go out for a walk or something I tell them to stay off the moors.
As I got into my teen years I finally got to see horror movies in the theater (The Final Nightmare, People Under The Stairs, Wolf, Child's Play 2, Hellraiser). Then my later years in high school I watched lots of horror movies, mostly B rate stuff (Evil Dead and Evil Dead II: Dead By Dawn, Dead Alive, Reanimator, Bride of Reanimator).
My favorite mainstream horror movie would have to be Hellraiser or The Final Nightmare (Alice Cooper was a good choice for Freddy's father).
B-Rate Comedy/Horror is Dead Alive/Braindead or Evil Dead II: Dead By Dawn
I also really like both House of 1000 Corpses or The Devil's Rejects but many people don't consider them to be horror movies.