I can't put my finger on exactly why but to this day Fire Walk With Me is still the scariest movie I've ever seen.
I think it is the sound mix. It seems to work on some kind of unconscious level to mess people up. Lynch is credited with the sound design himself, and I think he wrote that pounding music in the bar too, so perhaps this is undiluted TP, as opposed to the series, which has lots of Mark Frost influence (not a bad thing at all -- I think I may like Frost's ideas for the lodge better than Lynch's -- but absolutely different from Lynch alone.)
As an adult, I've only rarely ever been 'gotten' by a movie (as a kid, THE LEGEND OF HELL HOUSE did it to me.) But FWWM had me so messed up that I had to pull off the road and stop the car, because all of a sudden I was shaking, and this was ten minutes after I left the theater.
The fact that there were only two other people in the screening may have enhanced the effect, since I felt like I was alone in the theater watching the movie.