Oldboy (2003) - Fantastic. You're probably already heard of this one, but just in case you haven't seen it.
R-Point (2004) - A very surreal Korean horror movie.
Tattoo (2002) - A German crime/thriller that's shot very well. Loved it.
Dead Man's Shoes (2004) - As mentioned above, fantastic film. Paddy Considine was outstanding.
Severance (2006) - Very funny 'horror' with Danny Dyer in one of his few performances I liked. Great dialogue and a few laugh out loud moments for me.
Haute tension (2003) - French horror, also called 'Switchblade Romance'. Really mental. Great if you like scary films with well shot atmosphere/tension.