WHy not Theatre of Blood?
It was already mentioned, but yes, great movie.
:smack: Oops, for some reason I was thinking it was Perkins in MAgic… even though I know it wasn’t 
supervenusfreak: I second Jacob’s Ladder. Freaky though the plot is a bit complex after you watch it you can come and search all the threads about it 
Village of the Damned
The Innocents is a really great and really creepy movie, based on Henry James’ Turn of the Screw.
And as a nice transition from Halloween into the horror that is the Christmas season, I give you:
There were a couple of sequels, but I haven’t seen them.
Corman’s Masque of the Red Death is pretty good, too…
Shucks, I must be a newbie as this is only my 40th recommendation over the past few years…
The first 5 minutes ought to be enough to send your friends running and screaming out of the room…
Two of my favorites are Something Wicked This Way Comes and Lady in White.
Pardon me for bringing this thread back from the grave (heh), but no-one had mentioned one of my personal favorite oddities:
the Reflecting Skin - a flick that out-“David Lynch’s” even some of David Lynch movies, and stars a then-unknown Viggo Mortensen.
City of Lost Children - not exactly a horror movie or thriller, but not entirely like anything else I’ve ever seen either. By the same folks that made Delicatessan a rollicking comedy about cannibalism.
Carl Dreyer’s Das Vampyr - the original 1930s flick that Francis Ford Coppola, uh, “paid homage to” (i.e. swiped) the idea of shadows that move independently of their casters.
the Devil’s Rain - weird, weird, weird, and creepy. Especially the extremely bizarre ending. Starring a very young John Travolta, and the actress who played “Janet” on “Eight is Enough”.
“Starring”? Travolta had 12th billing.
Well, okay, not “starring” John Travolta. At any rate, it’s a creepy, nutty, mind-bending flick that’ll keep you up late at night wondering…
My all-time favorite…
the original Phantasm! I could watch that over and over and over again. If you like 70s era films, you shouldn’t miss it.
I also second the recommendation for Peeping Tom. And in a similar vein, give The Collector a shot. Features a pretty young Terence Stamp and is quite creepy.
Also, I’ve always had an affinity for Whatever Happened to Baby Jane?. You’ll get a whole lot of camp with this one, but the premise is way cool and the undertone sense of the rivalry between Davis and Crawford is surreal.
One foreign film (avoid the American remake although it’s done by the same director – too much dumbing down and predictable) that’s great in a more psychological way is Spoorloos. I tell everyone about it, especially those like me who are claustrophobic. 
It will definitely leave you gasping for air and horrified at the meer thought.
::: shudder :::
Gah!! I’m sure I could think of a billion more, considering I’m a huge horror fan, but right now I’m kinda drawing a blank after the above and others already mentioned. But I am thrilled that you brought this up because I do now have a few out there to look for that I haven’t seen yet. Yippee!!!
This isn’t exactly a horror film but Pink Flamingos by John Waters will definitely make you shudder.
for a combined psychological/horror flick, may i recommend The Terror, featuring a young Jack Nicholson, not to mention the always esteemed Boris Karloff. another Roger Corman special!
granted, i first saw it at a slumber party many, many moons ago, but it certainly made a lasting impression on me.
particularly when the only other girl who was still awake to see the ending, made a dramatic bolt for the bathroom after the final scene. ahh, lost youth…
Many whose judgement I trust recommend ‘Black Christmas’ - but I haven’t seen it…
I have. Trust their judgement - it’s like Hallowe’en, but it came first.
One hidden gem you absolutely must find and rent before some inferior American remake comes out:
Thesis: Director Alejandro Amenebar’s best movie by far. A graduate film student doing a thesis on violence in the media stumbles onto what may be a genuine snuff film ring. The story moves relentlessly from one set piece to another, each building the tension, the sense of danger, and doing a genuinely effective job of making the audience uncertain who the protagonist can and cannot trust.
Some Japanese Horror movies:
Audition: Really creepy tale about a man who stages fake film auditions in an attempt to meet young, attractive women. He chooses the wrong one. It is several rungs above the typical stalker movie.
Suicide Circle aka Suicide Club: All around Japan people have suddenly started committing suicide, including a group of 54 schoolgirls. I’d be careful about spoilers, but after seeing it twice, I still have only the vaguest idea what the hell is going on.
The Eye: A girl who’s been blind since the age of two regains her sight, and with it, possibly the ability to see ghosts. But because she’s been blind all that time, she cannot distinguish what is real from what may be hallucinations or the supernatural.
Dark Water: A mother and daughter involved in a nasty custody dispute move into a creepy old apartment building. All about the creepy mood and building suspense.
Perfect Blue: One of the most effective movies I’ve seen at blurring the lines between reality and psychosis. It’s anime, but without the big heads, super powered school girls, or giant robots.
And finally a couple of German films:
Funny Games: A couple of young men terrorize a family on vacation. Creepy in how it undermines expectations by violating taboos and horror movie conventions.
Autopsy: Franke Potente is a medical student sent to an exclusive private medical school, where she discovers that something isn’t quite right here.
And if you decide you do want to see some gore, the absolute king of gore movies is He Never Dies (Japanese). A depressed man comes home from work one day and tries to kill himself, only to find that not only can he not die, he can’t feel any pain either. So her procedes to impale, eviserate, and otherwise inflict any and every lethal form of injury on himself that he can think of.
Dario Argento:
Pretty much anything will be good, but the best are Suspiria and Opera.
For American films, I’ll add
Carnival of Souls: One of the great low budget movies, the only feature directed and produced by a company that made industrial safety films.
Don’t Look Now: An American couple in venice to try to get over the accidental death of a child become embroiled with strange accidents, a serial killer, and what may be their dead child. As a bonus, it has one of the best sex scenes ever to appear in a mainstream film.
Important note - there are three versions of this movie. The one directed by Wes Craven should be discarded - you want the Herk Harvey version - but the Harvey original also has a partially colourised variant that should also not be watched (or you should turn off all the colour on your TV set).