Blatantly stealing the idea from the haunting book thread!
Mine has got to be 'Dreams of a Life', the film about Joyce Vincent, the lady who died in her flat and wasn't discovered for years. It just breaks my heart that she lay there for so long. And the thing that haunts me the most is the fact that her TV was still on. 
Another one is 'As Above, So Below' a mediocre 'found footage' film set in the Paris catacombs, although it isn't a brilliant film, it really unnerved me.