Martyrs (2008) stayed with me for a while after watching it for the first time. Shocking to watch in places, but very well done and some great twists.
It's one of my favourite horror movies of all time, so bleak, unrelenting, true horror...as you say, stays with you for some time.
If you get chance check out Incident in a Ghostland by the same director, another very good horror from the last few years.
Shame French horror burnt out so fast, they did some great movies around that time.