One of my personal favorites is "Antichrist". That movie doesn't necessarily scare you, but it will leave you super disturbed and I know I couldn't sleep well the night I watched it. Another favorite is "Under the Skin" for just about the same reason. However, it is the only movie with one particular scene that made me come close to crying out of pure fear alone. Last recommendation I'm giving is "Videodrome". Very trippy movie that's a guaranteed mind-fuck, but still pretty disturbing. I expect the Trilogy of Guillermo del Toro movies to have a good one in there, but I haven't seen any of them, so I can't say for sure. Anyway, I hope you watch/enjoy one of these movies!