I second these suggestions:
The Thing : Fantastic psychological thriller, the effects are starting to look a bit dated but it's still one hell of a brilliant film/
Alien/s: Don't need to say any more really, fantastic films. Suspense, horrifying monsters, claustrophobic sense, if you've played and like Dead Space you'll love these.
Event Horizon: Oh my God, it's so fucking good. Psychological horror at its finest.
Dog Soldiers: Not particularly scary, but it's an amazing film.
Outpost: Ghost nazi zombie...things. Don't need to say any more.
Some that haven't been said yet;
Hostage; not a straight up horror, but the second half is pretty scary, especially when things go tits up.
Kokoda: 39th Battalion, this is a war film about a malnourished squad of Australians against the Japanese on some island, it's quite obscure and low budget, but it's the most suspensful [and in some places outright scary] war film I've ever seen.
Also if you're feeling up for some jet black comedy, check out Dead Snow, a German film about nazi zombies, it has some of the most over the top gore and action I've seen. And it's a blast.