For a year, when I was about 5, we lived in a small house with a huge yard, that backed onto a Drive In Theatre. Well - we couldn't possibly NOT go, right? In fact, we used to sneak over to the drive-in almost every night. We'd take sleeping bags and beer and huddle all together in the field, watching the movie with one of the little speakers lifted from its post and pulled in close. We didn't have much in the way of TV back then and the channels we did have (all three) tended to play the news and hockey and that's about it.
So, right - the first horror movie that I remember seeing was at that drive-in, and was the movie Orca. Orca is about a killer whale that watches his pregnant mate butchered in front of him by whalers and so hunts down those whalers and kills them all. It's pretty graphic and gory and I saw it something like 12 times because the drive in had it playing for THAT long.