There's a thread filled with awesome suggestions for horror b-movies that you can check
here, if that's your thing. Some of those are pretty recent. Our own resident tinyE made some great contributions to that one.
Right off the top of my head, I'd highly recommend
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The House of The Devil and
The Innkeepers, both by Ti West
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Splinter;
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The Signal;
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Isolation;
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V/H/S (I'm definitely not a fan of "found footage" movies, but this one is pretty awesome)
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The Abandoned -
Wolf Creek -
Eden Lake.
I tried limiting my suggestions to movies made only after 2000, and I'm sorry if the genres aren't very diversified (not a huge fan of pseudo-intellectual supernatural thrillers, here), but I think I gave you some fine films to browse through, maybe you'll find one or two to be to your liking. :)
[EDIT] turned my paragraph into a list, for easier browsing