My favorite Halloween Movie is Coraline. I love the creepiness of it and how adult like the film really is. If you think it's a children's story you are sadly mistaken.
Now if we are talking pure Horror movies, then that is a whole different subject entirely.
My faves to watch in Oct or any month really are:
The Shining
The Descent
The Loved Ones
Goodnight Mommy
The Conjuring 1 and 2
Funny Games (Both Versions)
Attack the Block
Shaun of the Dead
The Others
I Saw the Devil
Eden Lake
It Follows
Nightmare on Elm Street (All Originals)
As you can tell I LOVE horror movies