Martyrs is just disturbing, not really
scary. It's as brutal as you can get. Not even SAW went that far.
It also depends on what gets you scared. If you find gory movies scary well Martyrs is definitely a good choice. Eden Lake is also good.
If you like ummm Supernatural scary **** i would reccomend The Sixth Sense or The Fourth Kind.
If you like just ghost stories and ****... The Ring. One of the best horror movies i've ever seen. Insidious almost made me **** my pants at parts.
One that really scarred me was "The exorcism of Emily Rose". Just because i tho it could happen to me
If you like Jump Scares and Teen Horrors: The SCREAM saga

The Hitcher, A Perfect Getaway, A nightmare on elm street, P2...