The Vanishing (1988, a.k.a. Spoorloos) is perhaps the most disturbing film I've seen.
Not a drop of blood, virtually no on-screen violence except for a brief fistfight. Yet still completely, utterly devastating. It has probably the most terrifying and disturbing, yet totally rational and inevitable, ending in a film. It also has one of the archetypal cinematic sociopaths, but what makes this "baddie" effective is how utterly normal he is apart from the terrible deeds he occasionally does. This is the definition of the chilling "banality of evil", what all those 90s serial killer films wanted to capture but always went over the top in the process of attempting to do so. The Vanishing feels as realistic and gritty as a documentary -- no absurd Hannibal Lecter caricatures here -- and is all the more effective and disturbing for it.
See it, but do so knowing as little as possible beforehand about what actually happens in it. It easily makes the shortlist for "darkest" films ever made; predictably, it was remade in America five years later and turned into another neat and tidy, happy-ending Hollywood cliche. Needless to say, avoid the remake: see the original if you like your horror intelligent and cerebral, yet still no less terrifying.