Alien
Aliens
Dark Skies
Dark City (I guess technically, but not really horror)
Attack The Block
Predator
The Arrival
Critters
The Faculty
Pitch Black
I'm sure there's much more even though I'm sure many people wouldn't agree with most of these.
If you are talking about reported real aliens like the Greys, unfortunately there are no movies that are good featuring them. They should do a serious 5 part documentary about what researchers have found regarding the topic, if it turns out to be true or not it is more scary then anything Hollywood can dream up. Watch old episodes of Sightings on Youtube if you want to get a taste of some scary stuff regarding the Greys.
shareHaven't seen it for years, but Fire In The Sky was/is really good and is actually based on an actual true story (which you can research and follow)
shareCheck out a low budget film called "Altered" (2006). It's surprisingly good.
I really liked Alien Abduction: Incident at lake County. It is low budget, and a mockumentary, but it is very tense.
share'Thought "Under The Skin" from last year was great!
Science can't explain everything, but religion can't explain anything.
Communion,
Signs,
Apollo 18.
To limit it to alien encounters and attempted abductions here on Earth, my two favourites are:
Fire in the Sky (1993), which was based on one man's claimed real-life experiences, and
Dark Skies (not the TV show, the film from 2013), which was fictional.
I also really enjoyed Alien Abduction (2014).
You might very well think that. I couldn't possibly comment.