No movie scared me. That I can remember. The one thing that gave me nightmares for weeks on end was Jeff Wayne's muscial version of War of the Worlds. It terrified me beyond adult comprehension. Every night I'd wake up in a cold sweat and shaking yet, perversely, desperate to get back to sleep to continue with the dream. It's like I was the youngest masochist on the block. I've loved that version of War of the Worlds above all others since then.
This is the start of it:
..and this is the best bit, about the ship they called Thunderchild.