I'm 22, and at this age you'll never find a movie that'll make you sleep with the lights on...but if you want movies that are terrifying and will probably make you jump; here are a few good ones:
Paranormal Activity 2 - Great sound effects, and I think this one had the least cheap scares added.
The Devil Inside - Twisted bodies, demons, exorcists...and good amounts of jump scenes that terrify.
The Ring - As someone mentioned; it doesn't scare me NOW, but upon first viewing, I was very uncomfortable.
[REC] and [REC]2 - Make sure you catch these two. I won't say anything else because I don't want to ruin it.
I'm sure I'll think of more.