Agreed on those who say Irreversible. I'm not easily shocked, but that was one film that I found seriously disturbing to watch.
A few people have mentioned the truly bonkers Ichi the Killer, but no one's mentioned another of Takashi Miike's other films, Visitor Q, which is possibly even more bonkers. Amazingly available uncut over here, unlike Ichi the Killer which is cut to pieces.
Was hugely disappointed with another film that a few people have mentioned - Wolf Creek. Read all the reviews saying how horrific it was and must say it left me unmoved & completely unfrightened.
Should also mention the original Texas Chain Saw Massacre - the sorta film you need to have a shower after watching, being so grimy in atmosphere. Strangely, THE moment for me in that film is when Leatherface slams the sliding door open. Not horrific in itself, but you just know something pretty terrible's about to happen.