What movie had you thinking about it for days after disturbed? For Me:

Requiem for a dream: I really didn't care about the young characters much, but the story of the mother breaking down psychologically was really powerful and the scene where the actors on TV appear in her room and the fridge attacks her disturbed me the most.

When the Wind Blows was also very disturbing to me especially the ending

Requiem for a Dream was one of the films I was thinking about after reading the title of the thread (for the same reason).

Audition, the needle scene UGH!
Dumplings and Dogtooth come to mind.

Spoorloos messed me up for about two weeks.
Hachi A Dog's Tale, messed me up for life, I think.
Cutting Moments, just be warned.

Initially, the x-rated version of Caligula gave me the heebie jeebies...then I watched Irreversible...

Southpark is known for its messages and morals thought its episodes, but none has made me have such a realization such as the episode in season 7 - "Raisins". If you've recently or ever had your heart broken by a girl, watch the episode to get the gist of it and listen to what butters says at the end, its such a different deep perspective haha! Bravo Southpark.