Lot of good one's already mentioned
The Ring
Paranormal Activity (Low budget, but VERY worth watching)
Martyrs (French movie)
Frontier(s) (French movie, fucking sick, very violent)
REC (Spanish movie)
Saw 1 (the other one's are more or less the same plot, lot of people dying in very creative ways
)
But you also should watch some classics, even if they're not as good as today's movies (special effects, etc.) like the Evil Dead series