I was going to mention the same film.
Up until I saw "Henry - Portrait of a Serial Killer"..."Blue Velvet" was probably the film that was the most unsettling to me.
There were one or two scenes in that film which did shock me.
Overall, the surreal, weird atmosphere is sort of shocking enough anyway,..but any scenes with Frank in can be guaranteed to shock you.
That first scene where we first get to see Frank was very shocking.
The one where the boy, (Kyle Mclachlan sp) is hiding in fear in the wardrobe, being forced to watch Frank (Dennis Hopper) abuse the nightclub singer (Isabella Rossilini) through the wooden slits in the wardrobe door.
Every time Frank put on the gas mask, it was usually a pretty shocking scene. He was just so scarily deranged. That bit where he said "Baby wants to f**k" was really freaky. Just the way he said it put chills down my spine.
David Lynch is so good at providing shocks in many of his films. Even his "Twin Peaks" movie had shock moments in, like the scene where that evil looking guy is just standing up from the side of Laura's bed. Hard to explain, but there were just scenes in that film that were so weird that they kind of took you by surprise and shocked you.
Flawed film, but shocking in parts, in an eerie weird sort of way.