I was seriously chilled after I saw Sweeney Todd for the first time (it was the revival). My friends and I had taken a spontaneous day trip into the city, which is rare, and it was really sunny out, and we picked Sweeney without knowing what it was. It was fantastic beyond anything, but very chilling.
Also, the gunshots in Les Mis scared me the first (only) time I saw it, on Broadway a few years back.
Hear the words I sing: war's a horrid thing. So, I sing sing sing... Ding a ling a ling.