I've never been big into horro r films, so I don't have much experience there. With that, not many films truly creeped me out when I was younger. I thought both of the Terminator films (both seen by me at a reasonably young age) were just cool more than anything, especially the Robert Patrick T-1000... and you know, Arnold Schwarzenegger. The Others was relatively creepy when I first saw it, because, as I say, I've never been all that with it when it comes to horror.
That said, my parents were both scared about me seeing Jurassic Park or the film version of Roald Dahl's The Witches (I loved Dahl's books as a kid, he really clocked on to the fact that kids actually like being a little creeped out). I don't remember the latter, but I've seen the former about a thousand times now, thanks to satellite TV. It's a good film.
I've probably mentioned this before here, but do you know what creeped me out as child, even though it's not really a movie? This Sesame Street sequence. Yeah, try sleeping now.