I was around 10 or 11 when we went to visit my uncle in Maryland and to keep my sister and I busy while the adults hung out they let us watch a movie. She and I sat in a dark room in a strange house in the woods and watched Poltergeist. It was easily the most frightening experience I ever had watching a movie and we both still talk about how much it scared us as kids.
My very first horror movie memory would be when I was just a couple weeks shy of my 5th birthday. Salem's Lot was airing on TV and naturally my mom wouldn't let me watch it. Just like any kid would do, I tried to find reasons to leave my room. "Mom, I gotta go to the bathroom." or "Mom, I want some water." Well it just so happened that when I left my room to go to the bathroom, little Danny Glick was very (un)dead and floating outside of his brother's window trying to get in. Needless to say, after seeing that, I actually did have to go to the bathroom. To this day, thinking about that gives me the willies. So, thanks for bringing it up. :)
The first movie that horrified me was, honestly, ET The Extra Terrestrial. The Loft got it as a Cult Classic once & the first half of that movie still terrifies me. The first real horror movie I saw was An American Werewolf in London. While my mum was out, my father popped it in the VCR and asked' "If you want to watch this, you can't ever tell your mother." I of course agreed & my mind was blown. I still, to this day, can't imagine a better way to be introduced to the genre.
My first horror film memories weren't of a specific movie, but were as a kid watching World Beyond at 1030am on Saturday mornings. If you survived the morning cartoons and didn't need to go and clean your room or help dad mow the lawn, you could watch a 'Mondo Monday-style' flick on Channel 5, the local, independent TV channel. Watching them made me feel grown up, a little bit older; I knew a little bit more about the world. If I remember correctly, the show's theme music was off of Pinik Floyd's Dark Side of the Moon, though some have said it was Santana's Black Magic Woman.
I saw 'Jaws' in a Corpus Christi multiplex I was about 8-9 years old, watched about 1/2 of it from the lobby, peeking through the entry doors into the theatre, and for a long time after that, being alone on a boat in shark-infested waters was THE recurring motif in my absolute WORST childhood nightmare.
The flying monkeys in the Wizard of Oz scared me to death. Also the Blob was the scariest thing ever - I was so scared that the blob would start oozing out from behind the screen.
The House on Haunted Hill (1959) is the first horror film I ever saw. I watched it with my dad on the Turner Classic Movie channel when I was probably about 4 or 5. There are a few things that really stick out in my memory- the opening scene with the screams and disembodied heads, Vincent Price and his mustache, the haunted organ, and the walking skeleton had me hiding under the covers. I remember it scaring me a lot but not wanting to tell my dad so I could continue watching movies with him.
When I was 8 my family and I were visiting my grandparents in Michigan, and my dad decided to rent the first Nightmare on Elm Street to keep me and my cousins, who were the same age as me, occupied. The film was bloody and creepy and scary. Needless to say, I didn't do much sleeping on that trip.