The earliest example of a film terrifying me would have to be
The Company of Wolves - I didn't make it past the first dream sequence with the girl being pursued through the forest, though specifically the bit before that where the the lead character's bedroom turns from day to night in the space of a few seconds. That really, really scared me. I was only seven or eight at the time, but I was so freaked out by it I wouldn't even look at the video in the local rental shop and wouldn't dare watch the film until about seven years later. Luckily it turned out to be a peach of a film!
A few years later, but
The Lost Boys scared the hell out of me, specifically the moment where Kiefer Sutherland's face comes out of the dark and we see him as a proper vampire for the first time - I ran screaming from the room and hid upstairs. Saying that, I was so gripped by the film that I (nervously) asked my much-braver sister what happened afterwards!
Oh, there was also that utterly bizarre moment in
Superman III where the bad guy's sister gets turned into a terrifying cyborg. It was the hair and the eyes that did it.
