For me its easy - From Best to worst:
Lynch, Cronenberg, Carpenter.
Lynch isn't so much horror as awesome mystery type stuff. Elephant Man is my favourite, but Mulholland Drive, Blue Velvet and even Dune I enjoyed. Lost Highway wasn't as hot.
Cronenberg I find a bit more hit and miss. Naked Lunch was surprisingly good, Dead Ringer's was interesting but not exactly entertaining, and The Fly was pretty much the opposite - not very cerebral but fun.
Carpenter - meh. I think there's much better horror than Halloween.
Admittedly there are quite a few films by these directors that I haven't seen.