Movies:
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Audition
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Marebito
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Mothman Prophecies
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People Under the Stairs
TV Shows:
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American Horror Story Seasons 1 & 2
Video Games:
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FEAR 1 & 2
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Fatal Frame series
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Silent Hill series
Audition and Marebito are both Asian horror movies and they will leave a seriously creepy vibe for days after you watch them. Both are psychological horror as opposed to the visual oriented American horrors. Both can be found with subtitles and 100% worth the effort to find and watch.
Mothman Prophecies is based off of a book which allegedly is based off true events in the late 60's. If you like conspiracy theory type horror then it's worth a watch.
The People Under the Stairs is a mix of psychological and visual and will thoroughly deter any up and coming buglers from continuing said profession XD.
The American Horror Story show is on FX and I felt that it was well put together. The first season kept me on edge with the mystery and general creepiness. Plus it actually surprised with some of the plot twists. Season two is still ongoing and so far it has been interesting, but I can't say much since it's only 3 episodes into the season.
The FEAR games are very scary because they immerse you in the experience in a way a movie cannot. You will first hate the protagonist, Alma, and then you pity her. In the 2nd game many people actually care about her(myself included). It's a very original story with interesting twists, plots, and other such things. Plus they are under $10 each now since they are older games. :)
Fatal Frame is unique in a lot of ways. You encounter ghosts and a haunted house, but the story is much deeper than that in a subtle way that will keep your skin covered in goose bumps.
Silent Hill is pretty self explanatory, so I feel safe in assuming it needs no introduction. :)
I know you asked for movies, but the FEAR and Fatal Frame series really are worth looking into. :)