It depends what kind of horror film you want. It's a varied genre and if you are willing to watch older films then there is a lot more variety. Horror films in the 70s and 80s were really popular so there's a tonne of them to choose from.
If you insist on only new horror, I would recommend 'The Cabin in the Woods', which is a really well made film, written by Joss Whedon (who wrote and directed 'The Avengers').
If you want something gorier, the 'Saw' films get increasingly violent and gross, which might play well with lots of people watching together.
If you don't mind branching out a bit you could watch an old classic such as 'The Exorcist', which is really creepy.
Or the fairly recent '28 Days Later' is a really good zombie film.
Or just browse the Internet for a bit looking at lists of good horror movie and see if one grabs you!
Hope you find what you're looking for.