I still find The Shining really unnerving, especially the audio book.
Flowers in the Attic was my first foray into horror and I was hooked.
Beloved by Toni Morrison has stuck with me for years. I saw her read a passage from it, sitting mere meters from her, and it was chilling. I still can't believe how lucky I was.
I love several that have been mentioned and some that haven't: Blood Meridian (which I once saw described as "one long waterfall of blood cascading down the page" and it stuck with me as the perfect description), NOS4A2 by Joe Hill, The Heart Goes Last, Oryx & Crake, and The Handmaid's Tale (major Atwood fan), Let The Right One In, The Stand, Kelly + Victor (unsettling rather than scary), Blindness by José Saramago, Dark Matter by Michelle Paver (creepy af), Frankenstein, The Woman in Black, Turn of the Screw, The Monk, Dracula, Requiem for a Dream, Carrie ... I could go on and on!
American Psycho is a difficult read, made all the harder by a real weirdo I knew at the time of reading who was practically salivating while describing his favourite sections. Both book and weirdo were ditched.
I'm currently reading The Parable of the Sower and Station 11 - no light reading respite for me!