original snuff film
 

As I recall, the whole snuff film thing began as a hoax, a movie
called Snuff, directed by Roberta Finlay.
Unfortunately, I can't remember what book I read this in.

The closest I think I have ever seen to a snuff film was watching real tribals eat maggots out of the eye sockets of a real rotting human corpse in Hell of the Living Dead (taken from documentary footage that the filmmakers bought and used). I mean it didn't show anybody actually getting killed but it showed real human corpses. Can't think of any other movies I have seen that have done that.