I chose The Blair Witch Project.
Early in the movie, there's a lot about the legend of the Blair Witch, but unlike a lot of movies, almost all of it is BS and never comes into play later in the movie (ever notice how some throwaway scene or anecdote early in a movie always becomes a plot point later? Not just horror, but all genres. It's like, if they put it on screen, it HAS to become important some time before the end). Obviously, it's the "stand in the corner" thing that does end up being true, and the way it's filmed is perfect. There's that short bit of "wait....what's happening....oh, it's that thing the guy talked about" going on in your mind, and I've often compared it to the feeling of closing the car door even though you know you're locking your keys inside. The brain recognizes it before the body has time to react. It's certainly a shocking effect. Sadly, it doesn't work as well on subsequent viewings, but really, that applies to almost all "shock endings", doesn't it?
CINEMA PAFF - Your BB-Movie Showcase *
* - The extra B is for BYOBB