My definitive favorite is Alien.
I was discussing it with a fellow fan and he used a word for it, "hypnotic." The film grabs you. No matter how many times ai watch it, I am on the edge of my seat via suspense and totally enthralled. I told my friend that when I watch Alien a transference happens, I feel what the characters feel and I let my imagination transport me aboard the Nostromo and the fear becomes palpable.