I saw a few things when I was far too young - Robocop, Candyman and Terminator all spring to mind - and they did have pretty profound affects on me. I wouldn't say they've given me problems as such, but I certainly didn't enjoy them as a mature adult would have, and Candyman was deeply disturbing in a not fun way.
I remember joining scouts at the age of 11, a few months in we went on a midnight hike on a Friday night. This consisted of watching candyman in complete darkness in the scout hall til about 11 o'clock, then going for 10ish mile walk, before going back to the scout hall at 1-2am and watching children of the corn and trying to get to sleep. As you can imagine the older boys thought it hilarious to keep scaring us throughout the hike.
The only time I've ever been genuinely scared by a film. I honestly think it's really desensitised me from horror films now, nothing really phases me which is kind of a shame =/