Alien, followed pretty closely by Aliens. Hell, I even liked Alien 3, and have seen 4 about 10 times (just because I'm a huge Alien fan). I will admit that 4 is garbage, but I can't help it.
Back to favorites. Alien is just so good as a true horror movie. Probably the coolest scene in any movie is near the end where they're getting coolant for the escape pod. Lambert and Parker are in a room, and then the creepy music starts, and you see a shadow. I love how Parker tries to save Lambert, and then gets killed. The way he screams, shows the alien's teeth, and how Parker's like "get out of the rooooom!". Don't know what it is, but that part always was badass to me.
Aliens was a great action movie, too. But there's something about just one running around that you know NOTHING about that's really frightening.