I'll just copy my post from Wizards'
Call of Cthulu board.
Perfect Blue (Anime)
A Japanese teen pop star quits her band to start a movie career. As fans and critics insult her for the move, the stress begins to build. When she starts recieving threatening emails from a deranged fan, she begins to lose her grip on reality. Flights of fantasy, hallucinations and paranoia rule in this movie, and provide a story of one girl's descent to madness that will grab your attention.
Sleepy Hollow
Tim Burton's dark retelling of the classic story. This one has some great Lovecraftian elements, plus is a great inspiration for twisting the player's perceptions. Pay attention to how the young girl's actions are interpereted throughout the film.
An American Werewolf in London
This is
the werewolf movie. A pair of American teens are travelling Europe when they run into trouble in the English moors. There's a nice blend of comedy, suspense and outright horror in this film.
The Howling
Second in my trilogy of essential werewolf films. A reporter is investigating grisly murders and a strange group that lives out in the woods... some very fun twists on the genre, and the first really good "hybrid form" werewolf suit.
The Dog Soldiers
Described by the director as "a soldier movie with werewolves in it," this is still one of the top werewolf films of all time. Perfect for any Delta Green or d20 Modern campaign, showing just how modern firearms can be useless against terrors from beyond.
Hellraiser and
Hellbound: Hellraiser II
Do I even need to explain these?

A mysterious artifact, pacts with demons and lots 'n lots of blood & leather. This is a good way to make human-like creatures that are still horrifically alien... even on a low budget.
Se7en
Not all horrors are supernatural. Just when your players think that they're dealing with a cultist or something from Beyond... show them what true insanity humans are capable of on their own.
The Lost Boys
Perhaps better suited for d20 Modern, this 80's vampire flick still has its place in my heart. A small family moves to California, and discovers that some of the local teens are... not quite right. When the eldest son falls in love with a girl whose boyfriend runs the local teen biker gang, how will he win her? More importantly, why does the gang only come out at night?
Lord of Illusions
Though it bombed at the box office, this is a classic as far as I'm concerned. Another film by Clive Barker (who created
Hellraiser), this one focuses on a private investigator whose career has been ruined by a case involving the paranormal. Now, he's asked to track down a regular cheating scumbag... but when a fortune teller is killed, he is drawn into a web of cultists, magic and murder. Some very good 'rules of magic' in this one, which mirror some concepts held by magical traditions in our world.