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Let's Scare Jessica To Death (1971)
Entrance (2012)

Those two are my current favorites. 'Jessica' has more psychological scares, while 'Entrance' is a much more visceral horror experience. Both are very effective character studies, though. These movies make you feel for the protagonist when things start to go down. I love it when movies can make me feel genuinely scared (it's not easy), but when they do I become a big fan.