Just thought of 2 others, but they're actually documentaries, still they réally freaked me out:
Jesus Camp, a docu about the extreme fundies in America, seeing those kids REALLY freaked me out.
The other one would be a docu about North Korea, some eye-surgeon who was allowed in the country. The whole thing was simply...unreal, especially one scene after people could remove there bandages (after surgery) for the first time, you just can't make up shit like that.
Tbh, I think those are scarier then most movies I've seen, for a simple reason: that shit is réal.