"The House of the Devil" (1896) is considered the first horror film.
This French silent trick film was directed by Georges Méliès, and shows a 3 minute theatrical tale about the Devil meeting different phantoms in a castle. Although the film has comedic aspects and is more about wonder and mystery than horror, it's also regarded as a horror film due to its characters and subject matter.
From Youtube:
"Like most of his work during this period, Méliès milked the horror premise for comedy and spectacle, experimenting with trick photography and visual illusions. Even back then, "The House of the Devil" had all the horror movie clichés before they were clichés: demons, skeletons, ghosts, witchcraft, sorcery, and a spooky gothic castle. All in just 3 minutes! The film's original French title is "Le Manoir du diable."
See also: Venusian time machine: the strange tale of California's "Giant Rock"