Oldboy(actually, basically everything the director has done could qualify)
I Saw the Devil
Suspiria(people told me how "scary" movies like Blair Witch and Paranormal Activity were, I saw them and wasn't impressed at all, didn't come close to the atmosphere and horror this one did)
Other movies that have been mentioned like Children of Men and Pan's Labyrinth are very good, but these were movies that were pretty highly acclaimed when they came out, too.