I'd second Blood Meridian by Cormac McCarthy and anything by Jack Womack as being both disturbing AND good.
I thought American Psycho was simply a cynical marketing exercise (of selling a dull-as-ditchwater, pisspoor 'satire' by wrapping it up in lots of lovely slavering woman-butchery) so I simply refused to read it in full - and I've not seen any extracts yet to change my mind.
If you want more in the truly disturbing sci-fi-ish vein, try anything else by Jack Womack, or a book called Kaleidoscope Century by one John Barnes (no, definitely NOT the cuddly footballer), which somehow pulls off the trick of making you feel almost sorry for a man who's spent the last 100 years or so being a mercenary, ethnic cleanser and rapist.
For real-life "disturbing but good", try an amazing memoir by a French guy called Francois Bizot: THE GATE. Bizot is one of very, very few westerners to have ever been kept captive by the Khmer Rouge during the genocide in Cambodia and survive. His memories of his time under their power are terrifying - not so much for the gore (there's really not much) as the psychological tension. Realising that even the children of his captors saw him as a dispensable animal ... not knowing what was happening as one after another of his fellow Cambodian prisoners disappeared ... he didn't know where to, at the time ... and it's that creepy sense of impending doom, and the desperation of being one minute from death by a rock in the head comes through sharply. Also, because Bizot spoke Khmer and understood quite a bit about what the rural Cambodian culture was really like, he is creepily clear about what the Khmer Rouge did or didn't offer.
There was also a recent short story by Martin Amis based on events in Saddam's Iraq called "The Palace of The End" which gave me nightmares for WEEKS. should be available online somewhere - various newspapers and mags published it.