I forgot about Blair Witch Project, I was thinking of the Saw movies as examples of low-budget movies. Had no idea Paranormal Activity was made for so little (I knew it was low but not that low).
Good point about marketing though.
If you are looking at return on investment by percentage, the horror genre is hard to beat. Probably the only movie genre with a sizable audience that doesn't really depend on A-list stars, fancy special effects, or outstanding performances to do well. As long as the deliver on the scares and/or gore people are satisfied.