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Pixote (life in the favellas) is the most disturbing film I ever saw. It's haunting and horrific and even worse because it's real. I count many historical dramas treating about the slave trade, vietnam war, genocides (Hotel rwanda, The Pianist) or current affairs such as the sex slave trade as the most frightening I've seen.
Try to go for some european or arthouse cinema if you are looking for disturbing fright instead of "oh look here are some guts" or "boo! the mummy popped out of the box".
+ Dario Argento, the italian, does arty disturbing horror. Suspiria, Inferno, Tenebre etc
+ The french like to take a look at the horror of urban high society and the shit they get up to out of boredom. "La Pianiste" (franco-austrian) is a film about S/M but not at all in the glam way it is often portrayed, no leather & whips here, just two VERY fucked up people. "Les Rivières pourpres" is good shocking thrill & horror. "La cité des enfants perdus" is beautiful, creepy & nightmarish. "Last Tango In Paris" (italian film set in france) is an upsetting study of one man's grief & a woman's use of anonymity. Upsetting because they have some of the most ugly sex you ever saw.
+ Anything by David "Deprave" Cronenberg- he started out in cheap porn & gore trash, he likes to autopsy emotions and situations like bodies. Lots of visceral stuff. "Existenz" & "Crash" are his.
+ "8mm", a film about snuff. "American Psycho", christian bale is one messed up man. "Boys don't cry", "Monster", "The wicker man", "Natural born killers", "The Cell" is another of those wierd but beautiful films, "Trainspotting" is one of a bunch of hardhitting, in your face, agressive, violence british style scary films.
As an alternative, rent the DVDs of the TV series "Millenium", it's dark, spiritual, upsetting, lots of blood but a hell load of grey matter and food for thought.