Signs, The Fourth Kind, all of the Paranormal Activity movies... lol I was terrified of aliens and paranormal stuff due to an overactive imagination, and those were the cherry on the top.
Another good one was The Watchmen. Absolutely love that movie and was so deep into it, especially given its philosophical and ethical undertones.
Other good ones were 300, any of the Matrix movies, and Prometheus (even though it could have been soooooooo much better).