Perfect Blue 
 
The story is centered around Mima Kirigoe, the lead member of a pop trio who's decided to go solo as an actress. Her small recurring role in a direct-to-video series ends up turning into a big break, but the part and a subsequent photo shoot involves... compromising situations, to say the least. On top of all this, she's got a stalker that knows every intimate detail about her life and is posting it on the Internet. And then the murders start, and her sanity starts fraying. 
 
This film was Satoshi Kon's big break, and you know why when you watch it. The line between reality and fantasy blurs more and more as the film goes on, and you wonder if it's either all in her head, part of the direct-to-video series, or for real. And you will be scared. I was watching this in broad daylight in my dorm on move-in day for the returning students, and I was still scared out of my wits. And the plot twists. My god, the plot twists. In general, the plot is going to blow you out of the water.