Leaving off all those obvious smart psychological horror films (Blair Witch, the Exorcist, etc), here are a few slightly less-known ones I love.
Home Movie
A young couple (pastor / psychologist) with two troubled kids (6-7 yo twins) has moved to upstate NY after things have somehow gone wrong in the city. Film is comprised of 1980s style VHS footage of their "home movies." Never overly startling or gruesome, sometimes suffering from rote characterization (ie Faith vs Reason) but profoundly unsettling. No film has illustrated that aspect of RI which relates to the idea of those who "eat the suffering" so well.
Baghead
Mumblecore, yuck. But this film worked for me. Four friends with lots of sexual cross-signals retreat to a house in the middle of nowhere woodland in So-Cal together to write a film over the course of a weekend. They may or may not be being stalked by a psychopath wearing a brown paper bag over his head. I can understand why someone would abhor this movie. It's not entirely defensible but I liked the premise -- something utterly ridiculous (a person with a paper bag on their head) becomes lingeringly dreadful.
Repulsion
Polanski made it. Catherine Deneuve goes crazy alone in her apartment to terrifying effect. Available free (legal) here:
http://www.fearnet.com/movies/b16803_repulsion.html
The Poughkeepsie Tapes
I can't stand most slasher movies and was somewhat shocked I liked this but I did. Faux documentary about a brilliant and prolific serial killer. Comprised of interviews with FBI profilers and survivors, etc. The twists are very satisfying. Sort of like a Neo-Realist version of Saw.
* Home Movie and The Poughkeepsie Tapes are very very specifically likely to trigger anyone with a sadistic abuse background.