When i was 4 I caught part of 1960's The Fall of the House of Usher and it gave me nightmares. I'm guessing since it was 20 years old at the time and the effects were very dated that my parents didn't think it would freak me out ... but it did.
The only thing as an adult that scared or unnerved me was In the Mouth of Madness (1995). The effects suck especially today but the concept of mass perception of reality got under my skin at the time. Full disclosure it may have helped that I was high as a kite when I watched it.