Actually, there are two that made me totally paranoid after I saw them late at night and then went out for a smoke. Paranoid, as in there was a hedgehog walking around in the bushes and I got scared shitless by the rustling of leaves it was causing. These episodes are:
S1 E05 - Bloody Mary
S4 E11 - Family Remains
About the latter: I'm fine with demons. I'm fine with vengeful spirits, zombies, wendigos, vampires, all that jazz. But actual people? They scare the shit out of me.
Or, as Dean would put it: "Demons I get. People are crazy."