Has anyone seen the "3 Extremes" movies? Each one is three short films, and there are some very uncomfortable themes. No ghosts, no zombies, no serial slashers, but some of the scenes are not for the squeamish.
I'm also a fan of "Devil's Rejects". I think it will probably end up being Rob Zombie's best film, sadly. He did something that not many horror films do: he sided with the villain. You can tell he's on their side from the start, but by the end they are outright heroes. There's no "final girl"; instead, the killers are the winners (and they go down in a blaze of glory, just like any good western).
A few others I'd recommend:
"Behind the Mask" - Ever wonder how Freddy and Jason and Michael Myers do what they do? This mockumentary follows a fledgling murderer as he trains for and plots his first supernatural killing spree. A great look at the slasher genre.
"1408" - For a PG13 piece, it's surprisingly effective. An author makes his living writing spook books about haunted places. A complete skeptic, he meets his match in a fabled hotel room that's just plain evil. A ghost story without the ghost.
"Dead Alive" (also known as "BrainDead") - An early zombie flick by Peter Jackson. The script is hilarious and the splatter builds to a ridiculous crescendo. It's campy, old school fun, worth a place on the Netflix queue.