There are so many different types so I have a few to recommend.

If you're into Indie Foreign Horror Films, Check out Inside
Terrifying movie, super intense and just totally worth every second.

If you're into Suspense Movies, not neccesarily horror, check out The Skeleton Key
It's one of those with a twist and more of a thought provoker

If you want Zombies, check out Diary of the Dead
One of George Romero's newer films, not too well known, but for sure one of the better ones out there

And the last, if you're into the cheesey low budget films, check out Evil Bong
Perfect choice after a bong load and seriously hit the spot

Good luck