Hard to say. Depends on what your definition is. "Possum" is up there, as is "Skinamarink". But those are both a pretty specific type of disturbing. Not necessarily scary, but disturbing depending on life experiences.
I just watched "Men" last weekend, knowing nothing going in. That was a bit of a strange one.
Sure, there's Martyrs, antichrist, requiem for a dream, Mother!, hereditary, the killing of a sacred deer, etc. but the first 2 I mentioned hit a bit harder than those others.
Side note: seeing some I haven't seen here. Got me some watching to do.