Hellboy II
One of the newer films on this list, Guillermo del Toro is known for wanting to show as much as possible with real, practical FX. While a lot of this movie was done using CGI, there is still a ton of practical FX utilized throughout, much of which is so convincing and brilliantly utilized that it adds a sense of wonder and magic to his fantasy horror tale. The Angel of Death is a great example of a character that looks absolutely stunning, all the more so because he feels tangible.
Aliens
Filmed well before CGI was a viable option, Aliens had to create everything by hand in order to make itself feel “real”. That’s why those Xenomorph constructed tunnels look so damn good. That’s why the Alien Queen is so convincing. That’s why everything about the movie is just so spot on. God damn, do I love this movie!