We live in rural NC and have terrible internet access, so streaming movies is pretty much out of the question. We've had Netflix for many years and have seen probably half of all the horror movies they have on there. Some of the better ones (no order):
Blood Creek
The Midnight Meat Train
The Theatre Bizarre
Tucker & Dale vs. Evil (more of a comedy)
Shutter
The Orphanage
Reading through this thread, I've added Martyrs, Audition and Funny Games to our queue. I see "Open Grave" is coming tomorrow. Pan's Labyrinth wasn't all that scary, but had some pretty memorable scenes. Need to watch that one again one of these days.