Isn't the mystery man in Lost Highway a whole lot scarier now that he's a convicted murderer? CREEEEPY.
There's a moment in Twin Peaks: Fire Walk With Me that scares the shit out of me every time, to the extent that I can't remember what happens exactly. I just know Laura and her father are in their car. I watch the movie about once a year, and that scene has a tremendous impact on me, and then it erases itself from my head.
Also, from the same movie, the part where she's looking at the painting of the door hanging on her wall...and where she rolls over and Heather Graham's dead body from the future is laying next to her...and the closeups of the fingernails breaking...and I guess pretty much everything else in the movie!
But on more subtle terms...the aforementioned operetta in Mulholland Drive is heartbreaking in such an unexpected and confounding way. I truly love that scene.