I really like Peele's movies. I don't usually get scared by horror at all, but he seems to know what gives me existential dread. Plus Nope is [Spoilers]
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a good modern take on Jaws, alien and kaiju movies. It made me scared of clouds for a month. Jean Jacket resembles a lot of deep sea creatures I've read about in the real world that slowly consume their prey alive, and the thought has always made me uneasy.
I also liked Annihilation, but it helps that it's loosely based on a pretty good book by Jeff Vandermeer, who does some fun weird fiction (I recommend Borne, which is not in any way related to Jason Borne, but rather a fun distopian biopunk romp about raising an Eldrich abomination.)
Jeff Vandermeers books are what introduced me to China Mieville, a great author (and a leftist). Perdido Street Station is up their as one of my favorite books now.