Came across an interesting article about this today and it got me thinking. Here is the first one that popped into my head. This movie devastated me when I watched it but was the greatest documentary I'd probably ever seen about loss and humanity:
Some other ones include Schindler's List and Funny Games (which all happened to be on the list in the article).
http://screencrush.com/greatest-movi...-dear-zachary/
Anyone else have movies they liked but were bothered so much by they couldn't watch them ever again?