I think I would go with Henry: Portrait of a Serial Killer. The movie doesn't really have a conventional plot, it just sort of shows these two guys going about their business in a weirdly non-judgmental way. Also the violence is not sensationalistic or cartoonish in the usual way -- it's all just sort of very honest and human and kind of awful.
I've seen a few of the ones mentioned here: Begotten is worth watching, and though not so disturbing for me, the movie has been indelibly imprinted onto my brain. I agree with the poster who found Salo dull, though I do like Pasolini and find the movie interesting in theory rather than practice.
Still looking for August Underground...