not seen all of them, but i believe some of the saw movies have an investigation type thing to them. Course, i only watched them for the traps, remeber the needle one, owwweee, it gave you boo-boos.

You've probably already seen El Orfanato, which has both the investigation of a disappearance of a person and of paranormal activity.

I found it excellently written and produced with a budget worthy of the script.

Along with the 1980 Changeling that was also mentioned, this is my favorite in this investigation genre, mainly because they actually managed to scare me.

I'm a bit over my investigator kick, but El Orfanato looks good. I'll add it to my list. Ty. : )