Un chien andalou by Luis Bunuel,written by Salvador Dalì in 1928.
The movie isn't a real "horror", it was one of the first surrealist movie.
It' is characterised by juxtapositions, the rejection of dramatic psychology, and a frequent use of shocking imagery (thanks Wikipedia XD)
I saw this on college and...it really shocked me.It's short,by the way,and you can see this here:
http://www.youtube.com/watch?v=ahWBVjz75f8 I remember exactly the (in)famous opening scene,a fist to your stomach.And the movie,itself,is nothing then a real nightmare. The "scary" thins is that every scene can be explained thanks to psychology,...and too often what you will discover,the meaning of each screen and scene,is more shocking then the movie itself.
If you suffer of heart,please DON'T open that link.
EDIT:Sorry I know,this review sucks,but it's difficult for me making a good review in english :(