Jacob's Ladder is a good movie. Old, but good. It's not a horror movie. More of a psychological thriller. But scarier than most "scary" movies. It's more demons than ghosts, but it runs much deeper than that. Great movie.
Fire Walk With Me (the Twin Peaks movie) is a freaky one. Again, not horror. But it's a complete mindf**k. This one is somewhat supernatural, but it's not as obvious. David Lynch, so you know it's a weird one.
The Devil's Backbone is a great ghost story. It's Spanish subtitled though, if that's ok with you. It's directed by the guy who did Pan's Labyrinth (which is also a good movie.) The Devil's Backbone isn't that make-you-jump kinda scary. It's more of a long, unsettling feeling in the pit of your stomach. I loved it.
And a great classic is Rosemary's Baby. Disturbing, creepy, lots of fun!
These are the kinda scary movies I like. I'm not into gore either. And I find an ongoing sense of impending doom much more satisfying than cheap thrills. I hope I was helpful. :)