Scariest movie I ever saw was definitely Audition.
http://www.imdb.com/title/tt0235198/
Japanese horror, but far more frightening than crap like The Ring or the Grudge. I had nightmares for a week after that.
Trivia from the imdb pas: When the film was screened at the Rotterdam Film Festival 2000 it had a record number of walkouts. At the Swiss premiere someone passed out and needed emergency room attention.
Is that scary enough for ya?
EDIT: that sheep movie looks scarier.