I really would like to be scared shitless...really. Nothing scares me anymore, but some movies that kind of bothered me were...

Requiem for a Dream

Mothman Prophecies (anything that borders on legend, that may be true scares the hell out of me.)

The Cube (That old goodie I had to see twice. It was just so horrible cause you didn't know who would create such a thing and put people in it. And it had no easy answers or solution -- claustrophobics beware)

Full Metal Jacket (although parts of it were pretty funny)