I know what you mean, Toby. I am not left scared after a movie with lots of effects at all, but I was left scared after watching a movie called Dead End. All you have is a family driving along a country road, which is surrounded by forest either side. The road never seems to end or join another road. Each time they stop the car for whatever reason, one of the passengers is killed.
You don't see anything, so everything is left to the viewers imagination as to what is out there - my imagination is more powerful than CGI it would seem. I still think twice about taking back roads on my own to this day LOL