It’s very subjective, for me I wouldn’t class a typical horror film as frightening, or even the more recent films like Saw or hostel, which to me are just gratuitous gore and cheesy ‘jump’ scenes.
I’m a huge lover of ‘classic’ horror films but they are also not very frightening.
If I really want to be disturbed, and have something to think about, something like crash (2004) would tick the list.. not really a horror but the characters and the drama and it’s just a really psychological heavy film.
Or another that really made me think about things, ‘unthinkable’ a Samuel L Jackson film, that was very hard watching.