I also cast votes for The Wasp Factory, The Painted Bird, The Bloody Chamber, Super-Cannes, and Let the Right One In.
Others by J G Ballard: High Rise and Running Wild.
Some of Your Blood by Theodore Sturgeon, notably for the ending.
The Glass Bees by Ernst Junger. This one is really odd: A visionary novel about technology by an author whose attitude to technology is one of cordial loathing.
Then there are the classics. I lost interest in 120 Days of Sodom after a while, but am finding Justine holds my interest so far.
Reaching back further, there are the Jacobean Revenge tragedies, especially The Duchess of Malfi, which the alert reader has probably already noticed has a personal appeal
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And don’t forget Euripides. Hard to beat The Bacchae!
If I might be permitted to widen the scope somewhat to include graphic novels/manga, both Art Spiegelman’s Maus and Keiji Nakazawa’s Barefoot Gen are about as disturbing as they come, especially as they document actual events. An eyewitness account, for Barefoot Gen: Nakazawa survived the Hiroshima bombing as a six-year-old boy.