The next Resident Evil movie should be pretty cool.
I forgot to mention two recent horror movies that are excellent: 28 Days Later, and Underworld (although that is only a horror movie insofar as it includes vampires and werewolves). Both had good plots, action, and a fair amount of gore (at least in the case of 28 Days Later).
Freddy vs. Jason was good, but it was more of a comedy than a horror film, with lots of dark humor and such.
For those of you who enjoy something a bit more "artistic," I would recommed Nosferatu the Vampyre. You can either choose the original or the remake: both are creepy.