The Orphanage is a good one because it is more of a classic style horror, where it is more of that unknown factor than out-and-out shock/gore. More creepy than scary.
The Grudge isn't really that scary, though it was decent. A couple of scenes were really good
I found Ju-on, as mentioned the Japanese original, to be much more disturbing. The Japanese version of Dark Water and The Ring were also much better than the US remakes.
The Descent was surprisingly good too. The sense of claustrophobia is ever present and it conveyed it well IMO. Not a great movie overall, but good creepy factor and excellent transfer on BD.
I still find the original Exorcist pretty freaky - "The Version You Haven't Seen" version is the best. Poltergeist is another one that is a lot of fun but still has a good "I would have crapped my pants if that happened to me when I was a kid" factor. It is scheduled for BD release in October.