The sf website io9 has a list up of movies, mostly children's films, that are unintentionally frightening. Some of the movies listed, like Labyrinth, are, I think, only scary to adults, but I remember some of them freaking me out as a kid: The hell scene in All Dogs Go to Heaven was still making me wake up in a cold sweat a year later, and everybody remembers the nefarious boat ride in Willy Wonka and the Chocolate Factory.
The best one on the list may be Watership Down. Mind you, I only read the book as a kid (and I thought it was awesome), but everyone I know who saw the movie claims it warped him for life: there he was, an innocent kid picking up a cartoon about fuzzy talking bunny rabbits . . . and then the blood started flowing.
And just for the record, the scariest thing about Labyrith, not mentioned in the io9 article, is David Bowie's pants.