Four times that I remember.
First: From a collection of scary stories my older sister brought home. I must have been about eight years old. A horrible creatures runs up and jumps on a man's back, digging its claws/hands into him, and it can't be removed. I don't remember much other than that, but the sheer randomness of the event horrified me, and I'm sure I had nightmares about it for weeks after I read it.
Second: This was one of those collections of scary stories in a thin little volume, marketed at middle schoolers. I was fine with most of the stories, but there was one in particular that completely freaked me out. It was about a guy with roaches in his apartment, so he bought a gecko, which he let loose so it could eat them. It got so big eating roaches, it ended up eating him. As far as his landlord and the police were concerned, he had just vanished.
Third: This was, again, another collection of stories, one of those 'true' strange story collections, written in a nonfiction format. Spontaneous Human Combustion...I'll leave it at that. Brrr
Fourth: Believe it or not, Jurassic Park. No, not the scenes where characters are running for their lives or any of that...just the way the dinosaurs behaved. In particular that early scene where the little girl is attacked by a procomsognathus on a beach was terrifying for me for the fact that such a small thing could be so freaking dangerous, and the way in which it was dangerous. Jurassic Park 3 (I think) included a scene clearly inspired by that, but it didn't quite catch the terror of it for me. The other early scene with the baby was pretty bad too.
I've read plenty of horror, tons of Stephen King, but none of them really scare me. Some may creep me out a bit if I set the stage for it (strategic lights off, wait until it's dark outside, etc), but for the most part I find them interesting, like an adventure book. What gets to me seems to be an otherwise innocent person being in the wrong place at the wrong time abruptly becoming the target of something they know nothing about for reasons they don't know and can't find out. Yeah, out of everything I've read, these four are what got to me.