Not that disturbing or shocking, but twisted and freaky in a good way: Fear And Loathing In Las Vegas. Especially the scene where Johnny Depp wakes up in a flooded hotel room, wearing a pair of fisherman's boots and a giant lizard tail. Priceless.

I haven't had the chance to see Caligula yet, but a friend of mine said it was the most messed up thing he'd seen in a while. He had trouble watching it from the beginning to the end in one go. As for a rainy day movie I don't recommend watching Lilja 4-Ever, Monster's Ball or In The Bedroom.