Best psychological horror film of all time -
A Tale of Two Sisters - it is korean, but you can find the unrated cut at most Wal-marts.
You will have to be man enough to read subtitles.
Best revenge story (way better than the kill bills) is
OldBoy. Also Korean, probably available at most Blockbuster and Hollywood Video stores.

Oldboy is part of a trilogy of revenge movies, each a seperate story.
The other two
Lady Vengeance, and
Sympathy for Mr Vengeance are almost as good, just less action. Lady Vengeance is the penultimate of "Revenge is a dish best served cold."
Then on the fun side, I really like the Japanese flick
Survive Style 5+.
It is one of those movies with multiple plotlines that all intersect at one point or another.
Here's the plot summary from IMDB:
A man continually trying and failing to get his wife to stay dead; a self-absorbed ad agency creative director who comes up with one unworkably inane idea after another; an Australian hitman who only wants to know everyone's function in life; and an unfortunate office worker and father whose brain is left scrambled after a stage hypnotist is murdered in mid-performance. Starting off as unrelated plot lines, they intertwine with each other as they continue on their respective ways.

Unfortunately Survive Style 5+ has not had a US release yet, so either download it off the net, import the $50(!!!) edition from Japan or buy a bootleg from Ebay.