Here's my top five, in the order they came to mind:
- 12.18, "The Memory Remains" - That goat mask costume definitely freaked me out a little, and the meatlocker didn't make things any better. Sure, the BMoL's bunker-bugging session distracted a little from the case, and the diner scenes with Dean and the waitress injected some levity, but the case overall had a definite old-school horror vibe.
- 4.11, "Family Remains" - The idea of someone living in your basement/attic/walls without you knowing is terrifying all on its own, even without the added detail of "feral incest kids who eat freshly-killed rats". And the episode itself delivers an effected sense of the characters being trapped in the middle of nowhere, at least while they try to make sure everyone's safe before they head off on foot. Dean's confession about having enjoying doing the torturing in Hell is the highlight of the episode, and probably what most people remember from it, but if you're looking for a "mini horror movie" episode, this is a pretty strong option.
- 1.10, "Asylum" - It's one of the class "horror" episodes, largely due to the magnificent location and the director's skill in making the most of it. We also get the terrifying idea of some outside force causing us to turn on and injure those we normally hold most dear. Yes, Sam had some underlying resentment towards Dean anyway, but he was keeping it controlled. To have that control simply removed by the ghost most have been dreadful, at least in retrospect.
- 3.13, "Ghostfacers" - Yes, it's a funny episode, but behind the humor is a truely horrifying scenario--trapped with a ghost who wants to add you to his taxidermy birthday party. Just ... ick.
- 11.07, "Plush" - Ghost possession would make for a scary storyline by itself, but the mask and costumes push the creepy factor into the realm of uncomfortable at times. If I'd been in Sam's shoes when that blood-spattered clown walked into the elevator, I doubt I would've been able to prevent myself from freaking out entirely.