If you want to watch a truly scary movie, rent The Descent. It's claustrophobic atmosphere will have you cowering in fear well before the truly bad stuff happens.

If human-based horror is more to your taste, rent Come and See. It's in Russian, with English subtitles, and it is a movie that will rock you to your core. You will only want to watch it once.

I also have a soft spot for Hostel, purely because I've stayed in the place where it was filmed. In a hostel.