I put these in the movies thread, but they really are worth watching. I wouldn't call them all horror but they do fit the - I mean movies that leave you with that "why am I still alive" feeling. Movies with disturbing well thought out stories - qualification.
Imprint - It's a Takeshi Miike film (he did Ichi the Killer), and if you like disturbing, you'll love it. It's stomach turning done beautifully. http://www.youtube.com/watch?v=5OyR5xyLuuw
Let the Right One In - It's in Swedish, but I didn't notice the subtitles at all. The guys keep calling it a disturbing horror movie about vampires, but I don't think we saw the same movie. I thought it was romantic and happened to have vampires and carnage. Regardless, horror fans must watch. http://www.youtube.com/watch?v=ICp4g9p_rgo
Sick: The Life & Death of Bob Flanagan, Supermasochist - It's a documentary, the title says it all. Wickedly interesting (deviation from the norm always is) but you have to have a really strong stomach, it's got some hardcore BDSM. http://www.youtube.com/watch?v=Cx2av87Lc1I