A movie that is not a horror yet one of the most intense movies I've ever seen is "Manhunter" (1986) from Michael Mann.
http://www.imdb.com/title/tt0091474/
Although "Silence of the lambs" had excellent acting and more of a typical thriller / adventure plot structure, Manhunter is WAY more intense in my book and William Petersen in the title role is just excellent.
"Apocalypse now" would be another movie that's actually pretty intense, scary and philosophical at the same time, one of those I enjoyed in its full length director's cut and being slightly older.
http://www.imdb.com/title/tt0078788/
Then there's another very atmospherical and intense movie that comes to my mind and might not be entirely this well known - Angel Heart (1987) with Mickey Rourke and Robert De Niro.
http://www.imdb.com/title/tt0092563/
Uncovering anything that might be a part of our neighbourhood or even a part of us and is proven to happen regularly is actually rather more scary to me than any of the mysterious or fiction horrors.
Let me mention William Styron and his Sophie's Choice, I have to admit I've never seen the original movie, but am a huge admirer of the author and these are the horrors that were and are living with us.
http://www.imdb.com/title/tt0084707/
