I know this is lame but Paranormal Activity really messed me up! I saw it at the cinema with my sister and spent the last 5 minutes with my scarf wrapped around my head. I had to sleep with the tv on for about 3 weeks after!
Also I had a nightmare about Charles Bronson, months after watching Bronson, although I wasn't bothered by it at the time, clearly something was triggered by that film. It's not even scary, the guys just a complete nutter.