The Japanese are known for borrowing elements of other cultures, putting their own spin on them, and producing something new and unique. One area they have certainly excelled in with this practice is horror movies.
J-Horror has become an entire genre unto itself, known for its complex psychological themes, often using elements of Japanese folk tales. These movies range from the quite creepy and disturbing to some of the most deranged, messed-up films you will ever see.
Here's a couple that I recommend (probably NSFW, gory stuff).
Suicide Club (2002)
This movie falls into the latter category. :P
Suicide Club opens with a scene subway station, a seemingly normal day, with a lot of schoolgirls waiting for the train to arrive. When it has almost arrived, they line up on the edge of the platform, and holding hands...
...jump. That's just the first couple minutes of the movie, after that then it gets weird. You wouldn't believe what's in the white bag at the end of that clip.
Suicide Club goes through many different strange tangents and twists, it ends up being a really complex, unusual story.
Suicide Club Trailer
There's also a sequel, Noriko's Dinner Table, which I haven't gotten to check out yet, but looks awesome (certainly has won a lot of awards).
Noriko's Dinner Table Trailer
Critically-acclaimed Takashi Miike is an incredibly prolific director (he's directed over seventy movies since 1991 at the time I write this). His work ranges from fun, carefree childrens' movies (like Zebraman) to hyper-violent, ultra-gory, controversial films (such as Ichi the Killer).
Guess which category Audition is? The film is about a man who puts out a personal ad, hoping to find a new wife. Unfortunately for him, his dream girl turns out to be a nightmare.
Ju-On: The Grudge (2003)
Ju-On: The Grudge is the original movie that the American version was based on (both were directed by Takashi Shimizu). It's a story about ghosts filled with rage, laying a terrible curse that and haunting the people that enter their house...
Ju-On: The Grudge English Trailer (narrated by Don Lafontaine!)
Oh, by the way, Misaki Ito is smokin' hawt (as are a lot of the girls in this movie).