I'm hard to please when it comes to being truly disturbed by a horror movie. I feel I need to do it myself, although I'm not sure I'll ever get close to making a movie.
Interestingly, one that creeped me out well enough was The Blair Witch project. It's because it was more "real" - so an independent movie with a more personal handheld feel might work.. it's being in the viewpoint of the character.

The part when they're in the tent and can hear Josh calling faintly in the distance.. that.... that was good.