As far as I'm concerned, the isolated togetherness in a dark movie theatre is the best way to deliver chills and thrils, but the slightly more accessible television terrors certainly can't be underestimated either. The bite-sized horror of various TV series might have it's problems compared to the complete and undivided attention one gives to a movie, but that's not saying some series won't scare the living crap out of you.
It's my experience that the various horror-themed series aren't as effective as they could be, but then again, such is the case with many, many horror movies. Some series that work hard to break through the fourth-wall barrier and roar into our faces include:
Supernatural. Although most Supernatural-episodes aren't very scary, some are even downright funny like Mystery Spot, it still has its share of old-fashioned horror, with freaky children, shapechangers, or ghosts 'a plenty. The classical rock soundtrack certainly help for those, such as yours truly, who appriciates some music.
Dexter deserves a honorable mention, when the title music and intro is scary enough to give chills, it doesn't really matter how un-scary, although undoubtably exciting, the rest of the show is.
While on the topic of winsome intros, we also have Masters of Horror, as I discussed earlier. Any horror fan should check these out, as they're a great way to open up your mind to new and exciting directors and their different directing styles. Needless to say, horror nerds that are also movie nerds will have a ball.
Lastly, we have Doctor Who, ask anyone who grew up with this, it has some scary stuff. I've saddly just experienced the last few seasons of this granddaddy of scifi, but there has been plenty of genuinely scary moments. For example, Blink is just pure scary, featuring statues that come to life and kills you (technically though, just send you back in time and let you live yourself to death, the point remains,) if you should take your eyes away from them, or The impossible planet/The satan pit, where the main characters stumble accross a planet keeping the most ancient of evils trapped within. Doctor Who succeeds in being scary as hell because of untraditional monsters, good writing and editing, and it's definitely worth a look if you're on the lookout for something slightly different.