A Tale Of Two Sisters: a Korean psychological horror cult classic about a family moving into a new house in the middle of nowhere. Yes, things end up seeming out of the ordinary: a step-mother that's just a tad bit too anxious to please; a daughter that does not speak; girls under the sink; dead budgies; etc - first time I watched this film, I had to re-watch it from the beginning again as I was utterly confused. When you understand what's going on, it becomes truly disturbing.
Martyrs: a brilliant French arthouse horror that just pushes the boundaries of cinema - the first 30 minutes MIGHT just seem a little predictable (with a nasty scarred lady-beast representing a haunting emotion for SOME REASON), but after that, you're thrown down into the darkest cesspit that film has to offer... and it isn't pretty. Two girls: one was tortured at a young age but managed to escape - they were both looked after at an orphanage and gained a close bond. The girl that was tortured is still constantly tortured by guilt until the day when she tries to overcome it. Why was she tortured, though? Well, that leads to an amazing sequence that the other girl must experience... This film is a piece of grotesque art.
Eraserhead: once stated by David Lynch - "This film is many things: it's a comedy; a romance; a horror". Yeah, well keep in mind that David Lynch is the mastermind behind ABSURDA (his own film production agency): this film really does require an open mind. It may take a few watches to gain an idea of what actually is going on - it's all about your own interpretation. Nevertheless, you'll still get creeped out by Eraserhead. A man and his girlfriend have a child that resembles a sort of reptillian feotus. Oh, you are sick!
The Balir Witch Project: I stated in another thread recently why I love this film so much - I may be flamed for expressing my opinion on this film... it is an atmospherical film: there isn't anything that really jumps at the screen (and, of course, if you're into the silly torture-porn horror franchises, you should not watch this film) - it's playing with psychology. The film is an interesting ephasis of the line between sanity and insanity. As we watch the teenage documentarians in the distressing situation, we should start wondering to ourselves: what would we do in that situation?
Throughout the movie, an eerie atmosphere is created effectively - most definitely with the ending (I won't be specific for those who want to see the film). The film really does play with the smallest of details too: when watching the film, make sure you are paying attention as the statements that seem least significant will definitely come to play on your mind towards the end.
I do enjoy a lot of psychological films, but those are just three from the top of my head. If you're interested in a good horror film, I'd suggest you look into watching these three.