Mulholland Drive
The air of dread that permeates through the whole thing — even the small comedic bits — is almost palpable. And then that part happens, and it takes all of your ideas about where things can go, puts them in a blender and force-feeds you the purée.
Also, the scene where Adam walks in on his wife cheating on him with [REDACTED] is probably the most jarring cameo in cinema.