Can't believe no one has mentioned the Hellraiser films yet, I and II were both excellent and have stood the test of time surprisingly well (let's forget about III for now!). I watched Nightmare on Elm Street the other day and although it is creepy, the effects look dated and therefore some of the scare value is lost for me.
Most recent horror film that I actually liked so much I bought, was 28 Days Later. I'm sure I've seen other films recently, but they had such a huge impression on me that I can't remember their names.
Have to agree about Event Horizon, Texas Chainsaw (original) and The Thing.