I'm not a big movie buff and have seen nowhere near as much as others but for me it's Robin Williams in One Hour Photo. I was watching it in bed, he played the character that well that I physically got out of bed three times and hovered over the stop button on my computer because he made me feel that uncomfortable. I've never had any character get to me anywhere close to that.
I remember telling someone about the performance a couple days before he died. Was weird.
