Horror is definitely my favorite genre. I'd say The Blaire Witch Project, The Mothman Prophecies, and The Fourth Kind were some of the best psychological horror I've seen in my life so far. Les Martyrs (don't look this one up if you're squeamish, seriously) has so far been the most disturbing.
I thought The Hills have Eyes had some disturbing scenes, too, but Les Martyrs takes the cake.