Your basic horror movie often will have a clever twist in it, Or rather your basic horror will have a basic twist and a decent horror will have a decent twist. Stuff like M. Night Shamalyan and The Others offer decent recent offerings, and of course things like the Scream films if you have not seen them might keep you guessing (well the first two might)
I'd also look at David Fincher films. Obviously Fight Club is a great film, with a great twist. Se7en is also a great film , and although the final twist is good there are quite a few along the way.
Also some Lynch stuff, wlthough hard to keep up with has some decent twists. Its not at the end but Mullholland Drive is great if you can keep up with the strange plot.
Also Murder on the Orient Express is a nice old twist, Empire Strikes Back, (how can anyone not know this twist by now) and many others metioned above, (of which usual Suspects and Memento are superb films)
To the person who said Oliver Twist (Brilliant

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And even things like Donnie Darko and American Beauty, when you are already told the twist but you still don't expect the way it comes about...