I'll second Come and See (1985), one of the most disturbing (and frank) portrayals of World War 2 ever. It's a psychological horror that's made even more horrifying because you know that unlike ghosts or torture cults or mad scientists, the events depicted actually occurred in real life pretty much exactly how they are shown.
Oldboy (2003) is pretty violent and fucked up in parts. They even have the main actor eat a live octopus, on-screen, for realsies. Three times (he kept nearly choking because the octopi kept twitching and wriggling too much as they were eaten alive). One of the best thrillers ever, though.
Super (2010) also kinda disturbed me. I thought it was going to be a light quirky comedy about that weird guy from The Office trying to be a superhero, along with Ellen Page as his manic pixie sidekick. But it is actually dark as all hell. Darker than Kick-Ass.