Jurassic Park frightened me...when I was 4. I don't remember the incident, but I was told I ran screaming when the dinosaurs roared, along with my brother. That being said, I loved dinosaurs throughout my childhood.
I also watched a whole bunch of Fairy Tales, which often had a wolf running around in the forest after the kid protagonist. As I never wanted to be hunted by a wolf, I unfortunately never explored the vast wilderness that was my backyard. Sad, now that I think about it. I really wished I had a sense of adventure...
Not a movie, but still a horrifying scene from a game that wasn't that scary:
It made me want to curl up and hide.
I also remember watching G4, and the seeing a trailer for Bioshock, when the Big Daddy's drill went through the protagonists' hand...emerging on the other side. That was pretty fucked up, especially as a 6th grader or whatnot. I still feel queezy about it, as, I mean, A DRILL WENT THROUGH HIS HAND!