Shining - I just love the atmosphere.
The Orphanage - certainly not the scariest movie out there, but the story is quite interesting, especially the ending
Earthlings - sadly a documentary... a lot of really shocking footage about factory farming and animal cruelty. One of the few movies I'm pretty sure I won't ever watch again.
Mulholland Drive/Inland Empire/Anything by David Lynch - not exactly horror or scary, but once again, his films tend to have a really dark atmosphere
Irreversible - not what I expected after all I've heared about it, but still it was pretty intense, and as far as I'm concerned a good movie as well
Sauna - swedish movie, seems pretty low budget but nontheless well produced, very slow-paced but tense
The Descent - Most of the movie is nothing more than a simple horror flick, but the third act is just ingenious
Well, that's all I'm getting out of my head right now.
Edit:
Red State - begins as rather unoriginal horror film, but throws some unexpected twists at you... pretty unique overall
28 Days/Weeks Later - I hate those fast zombies...
The Host - Asian horror parody-thing, weird and funny, but nontheless quite scary
Audition - More disturbing than scary and with an extremely long exposition, but really worth the watch
Drag me to Hell - Probably not one of the best horror films out there and there are many people who consider it boring and/or stupid. But being a big fan of Raimi's work (Army of Darkness anyone?), I thought DmtH was, despite being sort of predictable, a very fun yet at times scary movie