I've never seen Vanilla Sky, but I've seen the original Spanish versoin, "Open Your Eyes," and that freaked me out pretty good. I'm sure there's many more, I just can't think of them right now.
Pretty much my entire childhood of watching the X-Files, Outer Limits, and every single SciFI special has me paranoid about everything for life.
Of course, I'm also scared to death of E.T., Willy Wonka, and the Wizard of Oz, so maybe I should just get some help.