Horror films can certainly leave an impression, and in this Academy Originals video, a number of directors and other crew members share the first movies that scared them:
While you might not think of it as horror in the traditional sense, and I'm sure it's a random choice, but Arachnophobia was the first movie that I remember scaring me, and has no doubt contributed to my irrational fear of spiders (I'm pretty sure I was traumatized for weeks). I'll have to give a close second to literally anything with a terrifying puppet coming to life.
Fear is certainly a powerful emotion, and it's one of the reasons horror movies are still such a successful genre. Even if you don't like horror movies, they definitely get your heart racing.
What was the first movie (or movies) that scared you?