My two are 'the woman in Black' by Susan Hill - sooo creepy, and much more recently, and probably frightened me a bit more - 'What Laura Saw' by Sarah King. This one has a couple of really great twists and a very sympathetic lead character.
So which books scared you the most? I am looking for another one to read alongside 'The State We're In'. I like to have a couple of books on the go depending on my mood. Thanks