Quite the scariest, spookiest thing I've ever seen was Lars von Trier's The Kingdom (not the wobbly Stephen King remake, but the original). So unsettling it can only be watched on a warm summer's day with the curtains open. My only problem with it was that it ended on a cliffhanger - and the sequel's never been released in the UK on DVD (and the deleted VHS is impossible to find).
But god bless the ebay - it's been released in Denmark, has English subtitles, and some love's been importing it. He's sold me a copy for £7. So I finally get to find out what happens to poor Eleanor Druse.