House of Leaves scared the hell out of me, but it didn't really disturb me.  I found Haunted by Chuck Palahniuk kind of disturbing but honestly, his writing doesn't capture me enough to have any kind of lasting affect.  
That said, the first thing I thought of when I saw the title for this thread was A Clockwork Orange.  It may not be as over the top gruesome as Haunted but it stuck with me a lot more - the characters are a lot more fleshed out and the writing is phenomenal.
And it's been a while since I've read Lolita but yeah, that was an incredibly disturbing book.  It was beautifully written, but very, very hard to read just because it was so intense.