Two words: "Donnie Darko."
But if you enjoy old silent films, the first ever creepy, mind-boggling movie is a silent film called "The Cabinet of Dr. Caligari," which is the best classic creepy movie ever made! It's is the story of a man who suspects that a mad Doctor is using a somnambulist to commit a series of crimes in a small German Town. It is a silent film, but if you can find one with a good soundtrack it is worth it to watch. The ending is the best and it will make you go "What the ****!"
I highly recommend it to anyone who enjoys a good, classic horror film.