Here's a few of my lesser known faves, off the top of my head. I'm a zombie movie guy, so most of my picks lean in that direction:
3... Extremes
Three very different short stories from 3 different Asian directors (including Oldboy's Chan-wook Park).
6 Films to Keep You Awake
Six Spanish horror movies packaged together in a super cheap set. Some titles are better than others, but it's an excellent value and worth buying just for A Christmas Tale. [REC] fans should take note, that film's two directors each did a movie for this (A Christmas Tale and To Let).
Dance of the Dead
Really fun low budget zombie flick.
Audition
A creepy story about a man trying to find romance in the way only Takashi Miike could tell.
Behind the Mask: The Rise of Leslie Vernon
All Slasher movie fans should check this out. Part parody, part homage, part real slasher flick. Very entertaining.
Cemetery Man
I recommend this one every chance I get. The best artistic zombie movie ever made.
Dead & Buried
All I'm going to say about this one is, it needs to be seen. Just DO NOT watch any trailers or read any synopsis for it. It's one of those movies you need to go into knowing nothing about it.
The Devil's Backbone
Lesser known work by Guillermo del Toro, but I think it's one of his best.
Feast
Amazing horror comedy and a perfect movie to watch with a group of friends and a few drinks.
Re-Animator
One of my absolute fave horror comedies. Fans of Evil Dead and Return of the Living Dead should check it out.
Severance
Out of all the horror comdies that were called "the next Shaun of the Dead", this is the only one that even comes close. Shaun fans & slasher movie fans should check it out.
Zombi 2
Italian zombie flick by Lucio Fulci.
Deep Red & Tenebre
Two of Dario Argento giallo movies. They're probably more of the suspense side than the horror side, but both fantastic.
The Monster Squad
Like a horror movie version of The Goonies.
Freaked
Not a horror movie, but if you're a fan of foam latex monsters and wacky humor, you need to see it.
And I saved the best for last...
Dead Heat
The perfect slice of 80s cheese.