It sounds trite, but probably The Shining. I was just starting to read adult books, and it was a revelation. Scary and with sex!
The Cabin at the End of the World was kind of messed up, in a suspense, thriller, shocking way 
I would have to say the most shocking book I started to read (but didnāt finish) was 50 shades of grey!
Brave New World by Aldous Huxley. Only shocking because of how futuristic it was for a book written in 1931
Verity by Colleen Hoover
All the Ugly and Wonderful Things
Iād have to say The Crown of Gilded Bones was shocking to me!
One by one by Ruth Ware
Probably Bring Me Back but Iāll always remember Gone Girl
Gone Girl really messed when me. It was the first thriller/horror/crime whatever kind of book I read and dang was it a powerful starter
Behind Her Eyes my Sarah Pinborough! And the Netflix adaptation is pretty good, as well.
The Ocean at the End of the Lane
Gone Girl or The Silent Patient
It Ends With Us by Colleen Hoover was shocking to me because of how the protagonist and I ignored red flags in her relationship and did not realize until it was too late. It put the real world into perspective and how careful you have to be because people will twist their words and manipulate a situation so quick
Jodi Picoultās My Sisterās Keeper was pretty shocking in the end!! (Pay no attention to the movie!!!)
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Iāll Be Gone In The Dark, personally it was a very revealing and shocking read to me
The Woods Are Always Watching by Stephanie Perkins. Scared me enough that I gasped repeatedly through the book!
Cujo scared the crap out of me. I could not finish it.
For fiction, probably Verity by Colleen Hoover!
I would have to say all fall down by Ally Carter! Definitely was not expecting that twist!!