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Given that I definitely don't consider myself a fan of horror films, I was rather surprised to realize I'd actually seen 14 of Slant's "25 Best Horror Films of the Aughts," including one of the few films I've ever seen that I actually wish I could unsee (#5).
On the other hand, if you're looking for something to watch on Halloween (or anytime, actually), I can heartily recommend numbers 14, 12, 4 (don't read the synopsis) and 1. And, if batshit insane is your thing, 23 and 2.