I typically don't have nightmares or that sort of thing from watching movies, probably since I grew up with a sister twelve years older than me who loves scary stuff but could never watch it alone so guess which impressionable toddler got dragged out of bed every Friday night to watch whatever awful B-movie horror flick was being shown on the local UHF station?
Yeah, that would be me. It never seemed to bother me. So I'm not accustomed to being really, REALLY scared with any residual effect by shows or movies.
The only horror movie that has ever given me nightmares as an adult is Ringu, the original Japanese movie on which Hollywood's "The Ring" was based.
The only other movie, not really a horror film per se, that gave me a nightmare was "Virtuosity," a not-very-good movie about an AI-created psychopath that steps out of the machine and begins wreaking havoc in the real world. I only watched it because Russell Crowe was in it and that was before he was in a lot of stuff that was actually worth watching.
It's interesting to me that in both cases, the scary thing - the part that featured in my nightmares - was this evil, murderous "virtual" creature stepping out of some piece of technology and becoming real (and then coming to get me).
I guess if I start having nightmares where a uniformed Jimbuna steps out of my internet browser and stands in my room ominously chanting "what's all this then," I'll know it's time to unplug the ol' modem and stay off the grid.