My family bought in to cable television very early on, and we had HBO as part of the service. My parents forbid me from watching it alone, but of course that just upped the intrigue and I would sneak viewings when they weren't around.
The first mistake was The Thing. I had no idea what the movie was about, and so the first part of the film seemed unremarkable; they're at an arctic base, there's the shootout, all relatively tame. Then the dog scene. Holy crap that one is burned into my memory forever. I was utterly terrified but glued to the screen. That gave me screaming nightmares for a bit but I could never admit what the issue was, since I wasn't supposed to have watched it!
The second a few years later was Aliens. Wasn't nearly as bad of an experience but the scene with the people glued to the walls in the tunnel was a bit much. I recovered from that one much quicker than The Thing.