I watch A LOT of horror. The only film/show that has had the distinction of giving me nightmares as an adult was the White Bear episode of Black Mirror. That show, generally speaking, ranks pretty high as "shit that will fuck with you if you make the distinction of thinking about it too much".
Second on this list, Bad Boy Bubby, was one
inflicted on meshared with me by @Nicodemus. Premise of the film is this guy basically spends his entire life imprisoned in a one-room apartment with his mom, until he eventually ends up murdering his parents (his creepy, nasty, drunk dad just shows up one day), and then experiences life on the outside. The first ten minutes of that movie will literally break your soul.
Speaking of soul breaking! That would bring us to number three on my list of horrible things that should probably be watched by no one: A Serbian Film. Yes, that is, in fact, the name of the movie. Described by this random dude on Complex as having the dubious honor of managing to "[walk] the fine line between vile exploitation and psychologically devastating horror", while still making "The Human Centipede seems like a lighthearted comedy", A Serbian Film is pretty much the worst thing ever. I mean, I'm sure actual snuff would probably be worse, but only because the suffering is actual as opposed to vicarious. This movie is the kind of experience that will make you say, "You know what? What was I trying to prove and to whom? Fuck it. I will watch adorable cat videos until faith in humanity no longer seems like a insidious form of mass delusion!"
In addition to these films, other cinematic experiences that Rex is Similarly Not Down With? Glad you asked!
- The Goonies (I have never and will never watch this movie because I don't like that cave thing. Fuck that noise.)