Here is a list of some of my favorite directors and the horror films they have made. I have marked my personal favorites with a . I haven't seen a few of these. They are: Four Flies on Grey Velvet, Rebecca, Monkeyshines, and  Phantom of the Paradise.
 
 

DARIO ARGENTO

THE "ANIMAL TRILOGY":
• The Bird With the Crystal Plumage
• Cat O' Nine Tails
• Four Flies On Grey Velvet

DEEP RED AND THE THREE-MOTHERS "TRILOGY":
• Deep Red
• Suspiria
• Inferno

HIGH GIALLO RENAISSANCE:
• Tenebre
• Creepers a.k.a Phenomena
• Opera
• Two Evil Eyes (w/George Romero)
• Trauma
• Standahl Syndrome

       IN PRODUCTION:

ALFRED HITCHCOCK

HORROR FILMS
• The Birds
• Frenzy
• Psycho
• Rebecca
• Spellbound
• The Trouble With Harry
• Vertigo

GEORGE A. ROMERO

THE DEAD TRILOGY
• Night of the Living Dead
• Dawn of the Dead
• Day of the Dead

ANTHOLOGIES
• Creepshow
• Two Evil Eyes--with Dario Argento

OTHER
• Season of the Witch
• Crazies
• Martin
• Monkey Shines
• The Dark Half

DAVID CRONENBERG

Horror Films
• Rabid
• They Came From Within
• The Brood
• The Dead Zone
• The Fly
• Dead Ringers
• Crash

BRIAN DEPALMA

HORROR FILMS
• Phantom of the Paradise
• Sisters
• Carrie
• The Fury
• Blow Out
• Dressed to Kill
• Obsession
• Raising Cain

STANLEY KUBRICK

CREEPY ART FILMS
• Dr. Strangelove
• 2001: A Space Odyssey
• A Clockwork orange
• The Shining

DAVID LYNCH

HORROR FILMS
• Eraserhead
• Blue Velvet
• Lost Highway