This is going to sound strange to most, but The Shining.
Not because it was freaky or scary.
But because it was startlingly accurate in terms of mental demise. And having witnessed such craziness firsthand in the past, it got to me in a way I could not express to anyone. Still haven't finished it and probably never will.
Edit: paranormal activity. Was fine all the way through, thought nothing of it, even considered it tame. And then could not sleep until the DVD was searched up and thrown in the bin outside.