I'm gonna sound like a dork here but I'm gonna have to say The Shining. Seriously. I don't know what it is. I've seen a lot of the movies that have already been mentioned and yeah, they are kinda creepy but this one just hits, you know? There are so many disturbing images, disturbing sounds. I honestly can't remember a movie that had scared me this much upon first watching it. It's just.... chilling.
Also, Clockwork Orange. Much of the same idea but different end result. I honestly never want to see this film again.