The flying head from Time Bandits got me really scared as a kid - I often wouldn't sleep at night, in fear such a giant, detached ghostly head may be floating about in the corridor!
Kinda funny, seeing how cute and corny it looks now :)

Also after seeing Back to the Future, I was afraid of something happening in my past that would make me disappear - nowadays I worry more about some sudden heart failure (if at all), but back then, that scene really made an impression on me!

Recently, the stabbing scene from "A Cry for Help", based on a real life incident.
Very realistically shot, and got me shocked and depressed for days.