Haven't really come across any that scary, Event Horizon was definitely a little creep in parts though.
Another movie, although I don't know what it was called, and never saw all of it, that managed to distress me quite a bit (many years ago), was this thing on SBS. Flicking through channels I came across a blowup doll chasing a dude around what looked like an asylum with a great big knife.
I have no clue what it was about, or even if it was a serious movie, but seeing as I'd completely missed the context it was a hundred times scarier than it probably should have been