What type of horror do you like? Horror-comedy? Gory schlock? Slow-burn psychological horror?
Jacob's Ladder is one of the all-time greats; influenced a ton of stuff that came after it (including the Silent Hill games).
Here's a thread I made I couple of years ago asking for horror movie recommendations; might be worth browsing through.
EDIT: Oh, and as for more recent fare, I recently watched an independent horror film called
Absentia that I ended up liking quite a bit. It's one of those rare horror movies that figures out, "Hey, you know this shit is actually a lot scarier if we like the characters and
don't want to see horrible things happen to them."