Out of those already mentioned, I'd highlight:
Triangle - it is really brilliant, although a sort of sci-fi/horror/thriller mix.
The Orphanage - really chilling
Texas Chainsaw remake
Wrong Turn
Eden Lake - scary because it's British, and so feels more real
Martyrs - noticed this has been mentioned a lot. I thought it was a good film, but not what I'd call a 'good' horror film, just because it is not fun or enjoyable to watch at all in my opinion. I'd describe is as probably the most harrowing thing I've ever seen, I had to force myself to keep watching it, and felt a bit numb afterwarRAB.