I was lucky enough to see Blair Witch pre-hype, without a clue of what I was in for, and was blown away by it. Seems that a lot of the initial reviewers had the same sense of shock from the film, which led to the over-hype spoiling it for everyone else.
Talking of the Evil Dead, this thread can't go without a mention of Army of Darkness.
The final scene in Donnie Darko is touchingly tragic, and another great 'harsh' ending is the end credit sequence to the Dawn of the Dead remake.
Probably my pick would be Dark Water (I prefer the original to the remake, although it was good too).