The subject of horror movies came up recently at a movie group I frequent, and the first movie that came to my mind was Session 9. It is one of the most moving films I have ever seen. During the climax I am always watching with every ounce of my being, even though I know the outcome. And when the credits come up, I am always depressed, shocked, and torn apart.
I know that is not a very good recommendation. I suppose, though, it has that "if you think you've got problems" kind of catharsis one needs when attempting to overcome a nagging anxiety.