That's a tough question, because there are so many different types. Do you prefer a Halloween comedy? Then maybe Hocus Pocus, or Nightmare before Christmas, or Ghostbusters, is your favorite. If you prefer scary movies, what scares you? Supernatural goings-on, like The Exorcist, or slasher movies, like Halloween? Do you like a romantic element? Maybe Sleepy Hollow?
I think it's almost impossible to name just one, although there are quite a few that I enjoy.