When I was around 4 years old, I sat down with my Dad one weekend and watched a double feature of The Thing (1982) and The Fly (1986)*. I don't think I ever watched either of them again for almost ten years. They scared the ever-living shit out of me. Beyond that, the strong supernatural stuff (ghosts, demons, etc.) still strikes a chord with me to this day. I think it is because A) my religious upbringing and B) you just can't outrun that shit like you can most other things that go bump in the night.
* - My Dad is awesome. We constantly had double features on the weekends in the living room, either from stuff he rented or bought. I was raised from a VERY early age on a massive dose of horror, science fiction, fantasy, and action. Mom supplied the kid's films (though Dad helped) and my father supplied the imagination/nightmare fuel. I had a kick ass childhood.