Known to horror aficionados, but not to general movie watchers: Lake Mungo (2008)

I highly recommend you don't read up on it. Besides the fact that the film just works so much better when you come to it fresh, most reviews - both in print and YouTube videos - spoil pivotal scenes, including in the artwork they choose to use as a thumbnail/heading. Just watch it. Even if the horror doesn't work for you (many people report being bored by the film), it's still a great film with surprising depth and heart. It's worth checking off your list for sure.

The basics: It's a mockumentary set in Australia, made by a director/writer who hasn't done anything before or since, featuring actors who probably aren't known to you, even if you're an Aussie. Much of the dialogue is improvised, so it feels very real and natural.

Try to watch it alone, in the dark, with no distractions (turn off your phone). This will help maximise your chances of being one of the lucky people the film has managed to scare in a profound way. I'm one of those lucky people, I'm happy to say!