Most of the suggestions here are good, check them out. [REC] in particular.
Other than that, it's hard to know what works for you. I know Session 9 left me in scared-shitless state for DAYS, but that's just because it was disturbing, just like Kairo (not Pulse - that's the bad American remake), but some people say they're boring, that nothing scary happens. If you're looking for some relentless horror and some good scares, you're in luck - there are a lot of good horror films because all they need is a small budget and a very very good director. On the other hand, if you want some creepy and atmospheric mindfuck, there are the above-mentioned movies, Jacob's Ladder, 1408, Let the Right One In, etc.
If you want something more visceral, you should really check out the "new wave of the French extreme", a kind of French horror movie fad in the latest years that spawned some awesome movies: Martyrs, Haute Tension, À l'intérieur, maybe Sheitan (I didn't like it). If you REALLY want to go into traumatic territory, watch Gaspar Noé's Irreversible - it's not a horror movie, but it's one of the most horrific experiences I've ever had.
You shouldn't avoid "western" movies, like some posters suggested, since it might just be the kind of horror that works for you. I'd recommend The Descent (it has almost become a classic by now), The Last House on the Left (remake, amazing direction), The Hills Have Eyes (also remake, also awesome), Feast (best horror-comedy I've ever seen), Pandorum (a recent well-reviewed sci-fi horror), Paranormal Activity (you either hate it or you love it), Wolf Creek, Dead Silence, loads of others that I can't currently think of.
If you like zombies, which almost have a genre in itself, you might want to try 28 Days Later, Dawn of the Dead, The Crazies, Pontypool, Shaun of the Dead (warning, exceptionally good comedy), and then all the older zombie movies if you find out you like these.
As for eastern horror movies, I'd recommend you look around this site, Snowblood Apple: http://www.mandiapple.com/snowblood/index2.htm
It has a nice list of all the major Asian horror movies.
EDIT: Oh, right, I forgot the basics - Alien (the first one), The Thing, The Exorcist. Don't you forget these three.
Also, if you prefer "softcore" horror, there's a number of very good thrillers. Basically, they have more story and just tension instead of real horror, but since they get bigger budgets and more famous directors/actors, they tend to turn out good: The Others, El orfanato, El espinazo del diablo, El laberinto del fauno (all of these are from del Toro, he's a master of the genre), Panic Room, and I'd say The Ring remake qualifies.