When I was young, I watched Tremors and Alien in one day. I was in, like, preschool when I did this. I thought I actually saw the 'phantom forms' of a Xenomorph and one of the worms trying to creep up on me, so I ran off to sleep with my parents... but I still thought I saw them. Let's just say my parents were very tired for work the next day.
Other than that, no movies have actually scared me like that since. Then again, I barely watch horror at all.