If you ever played the online MMORPG Trickster (by Ntreev), you must watch "Bunshinsaba". It's a Korean movie. Trickster has numerous references to it. I wrote up a thread on the Trickster forums about the tie-ins.
Uzumaki is a fun, cult film. Not scary, just creepy weird. Japanese film. Written by Junji Ito or whatever his name is. The manga is weirder, so they toned it down for the movie.
Not movies, but I liked the Ayakashi/Mononoke anime series. Mononoke got corny at times, but it's a good ghost stories series. The creepiness/scariness isn't from the ghosts but from the people haunted by the ghosts. And if you like cats, you'll hate both segments titled "Bakeneko" (first is about a sadistic lord in the Tokugawa era, the other is about a cat accidentally killed by a trolley in the Showa period... well there's more to both of them than the cats, but that's why they're not fun episodes for cat lovers).
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I can't say much about horror movies cus i'm not a fan of horror... so i'll stop here