I thought I had answered, but seems that I haven't.
I'd first say Hitchock and Kubrick, even though they ain't really "horror directors" they still influenced the genre a lot. Wes Craven and John Carpenter are naturally legends too. From modern horror directors I want to give my appreciation to Guillermo Del Toro (especially his productions, he's a better producer and screenwriter than director), James Wan and Takashi Miike.
John Carpenter number one for me. I had the pleasure to see the guy last year. I have collected all of his movies and not a long ago I finally saw the Elvis movie which was the only one I was missing. The Thing is easily my favorite Carpenter film.
Other great has to be Wes Craven. I love what he did from late 80's to early 90's, Serpent and the Rainbow, Shocker and People Under the Stairs. And ofcourse A Nightmare on Elm Street is classic. There are couple of Wes Craven films I haven't yet seen.
And ofcourse David Cronenberg. The Fly was first Cronenberg movie I saw and I was probably around 6-7 years old back then. I think my favorites are all the films he did between 1981 and 1986, Scanners, Videodrome, The Dead Zone and The Fly. Few fantastic movies much later on, A History Of Violence and Eastern Promises. There's been a lot truly great films by Cronenberg. I have seen all but the few latest ones. I really hope to see Crash (1996) on blu-ray one of the these days.
Apart from the obvious classics. I must say James Wan is becoming a huge name in world of horror as well. He managed to deliver masterpieces in a age full of nostalgic horror critics. His movies are scary, intriguing, decent stories, enjoyable characters, all that mixed with his personal unique atmosphere. It just works. Please more Wan horror movies. :]