Squirmfest
Psycho: The Snuff Reels
Mu Zan E
Wrong Way
Forced Entry
Though you might have trouble getting your hands on a few of those, due to availability.
Also, not many people have mentioned August Underground.
These films might push the envelope in terms of sleaze and 'gore for gore's sake', but for truly disturbing viewing you can't go far wrong with The Blair Witch Project, I Stand Alone and Schizophrenia (aka Angst).
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