Hmm. There've been no books that have had that effect on me. No games either.
The two things that stole my sleep were derived from the same source material: The War of The Worlds. The 50s Pendragon film and the musical version by Jeff Wayne (Which I now love, by the way). They would've been experienced around the same time and I was probably warned, but as for the musical, the cover art looks awesome. How could the child-me not give it a listen? Then the film was on at some point and, again, I was warned.
That film made me terrified of lamp posts for weeks. Lamp posts for fuck sake. And I hid under the covers for ages, for fear of some crazy alien camera thing coming in through the window.
*Last minute edit*Oh, and Poltergeist. What ever drove me to watch that film. We had a row of conifers at the back of our garden. I once again took to hiding under the sheets with the curtains closed in case one of the buggers tried to grab me...