One genuinely unnerving horror movie is Cure by Kiyoshi Kurosawa (
http://www.imdb.com/title/tt0123948/).
You can read about it on imdb. It's a really, really good serial killer film, involving a detective trying to find the connections between unrelated murders performed by unrelated people, only connected by the carving of an X on the victim. Very creepy and hypnotic. The director is most famous for his film Pulse, which was remade in the US a little while ago. I've been a big fan of his work and I think he's a lesser known modern auteur. Most of his movies are good horror films but this one I think is my favourite. His films always have this great tension which he builds and builds but never release with a shock scare. It's really exciting.
Another that comes to mind: Don't Look Now (
http://www.imdb.com/title/tt0069995/).
This film also has a very creepy mood to it. It is set in Italy and is about this couple who happen to keep catching glimpses of what looks like their dead child around the canals. The only other film I've seen by the director, Nicolas Roeg, is Bad Timing (
http://www.imdb.com/title/tt0080408/) with Art Garfunkel, which is a pretty good drama, but completely unrelated to Don't Look Now. Both films are really worth checking out, though. I'm just mentioning it because he hasn't made anything horror-ish since.
The third and forth recommendations might are both by the same director, Peter Weir: Picnic at Hanging Rock (
http://www.imdb.com/title/tt0073540/), and The Last Wave (
http://www.imdb.com/title/tt0076299/).
Both films feel very similar to each other. Picnic at Hanging Rock is set in the 1900s and is about a group of schoolgirls who dis sapear into a rock formation during a school trip and fail to return. The film follows the townspeople as they try and find the girls. Really creepy and eerie.
The Last Wave is about a lawyer who takes on the job of defending some aboriginals in a murder case. He begins to have premonitions of a world disaster in his dreams, which he finds are connected to the tribal aboriginals and their concept of dreamtime. It's a very surreal films where time loops onto itself and they tension of probable disaster is really scary.
Also I want to note that these films might not fit everyones idea of horror, there's not a lot of blood and guts or zombies or monsters. Their much more psychological so they might not be for everyones taste. But I don't know, I liked them so maybe someone else will also.