I usally avoid horror movies, so I can avoid nightmares, but I have watched a few.
Drag me To Hell- This wasn't really SCARY scary, but more disturbing scary.
The Perfect Storm- Watched it once when I was younger and something about it scared me so much that I swore I would never watch it again. Never have.
The Grudge- I haven't seen the whole thing, but the few scenes I have seen creeped me out enough to consider not watching it.
And
The needle pit scene in SAW 2- I was actually considering watching the movies before I watched this. Not anymore! It tapped into one of my worst fears in a big way. *Shudders*