Thats totally subjective because what frightens some people is like a laugher to somebody else. For each person there might be a different answer to that question. Bambi is a terrifying film for a kid because Bambis mother is killed. When youre a child thats a terrifying thing. So does that qualify? Theres a movie called Blue Lagoon, which was really scary for me as a kid. Its kids on a boat, the boat sinks, the parents drown, the kids are alone on the island with a drunken sailor. Theres a scene in a cave with a snake and a skeleton and all that stuff, and that was a scary movie for me. Probably for an adult not so scary.
Then, as an adult, for me, Dont Look Now, Nic Roegs film with Julie Christie and Donald Sutherland. That really got to me, that was very effective film-making, its anticipation of death was so palpable. On the other hand if the person who asked this question saw it maybe it wouldn't have any effect. Theres no absolute universal.