Disturbing movies to show to young women

A few female coworkers have been watching movies at my place lately. I'm trying to educate them on good movies. Currently, the goal is to show them something disturbing, to mess them up.

I figured "Bug" 2006 would be a good place to start, but it didn't phase them so much. I'm thinking of whipping out the big guns, and showing them something like "Megan is Missing". I was creeped the fuck out by that movie, so that's my best idea for a disturbing movie.

What would you show to someone if you wanted to really unnerve them?