The most chilling moment, for me, came from a relatively unknown movie called Damien: The Omen II where Damien finally learns about his true identity that he's actually Antichrist and upon discovering he screams out at the sea, "why me?". I found that concept quite haunting and wondered for weeks why indeed him. The movie does not live up to its expectation though as the first one, as Damien quickly accepts his true self and goes on a killing spree shortly after, but I wish it had gone the other way as in rather than accepting it so quickly, he would dwell on it for a while and that, I thought, would have given the character a lot of meaning. I had problems accepting it's that simple.
I had also wondered if there are demons and angels among us and if so, then once they discover who they truly are, how do they go on about living their lives. I wonder about these things.