Discounting things that freaked me out as a kid--Captain Holly's recollection of the warren's destruction in the 1978 Watership Down movie is one of the most vividly horrifying things I've ever seen. I didn't see the movie until I was in college, the most I knew about it beforehand were the screenshots of bloodied up rabbits, and that scene totally took me off-guard.

As far as concepts go--any kind of "fate worse than death"/I Have No Mouth And I Must Scream-type scenario tends to burrow its way into my brain and stay there. For non-horror examples, I'm thinking of things like the ending of Being John Malkovich, the fates of Cars and Diavolo in JoJo's Bizarre Adventure--no matter how despicable the character it happens to is I'm always kind of shaken up by it!