THE OTHERS (2001) with Nicole Kidman is a reasonably recententry in the haunted house genre. Relies on mood, atmosphere, twists and turns in the plot, and the power of suggestion. The story unfolds like a chamber play and I like the film for its austerity.
For more graphic shocks, there'll be plenty of other suggestions here, I'm sure.
If you're looking for something creepy and have a strong stomach, check out "Inside." It's a French movie recently released under the Dimension Extreme label. It's the most effective horror movie I've seen in a long time but be warned: 1) It's extremely graphic and nasty and 2) There is a censored version out there that is a full 8 minutes shorter--be sure to get the unrated cut.
Also highly recommended: "Funny Games" (either the German original or the American remake--they're essentially identical but I have a slight preference for the original, probably just because it's the one I saw first). It's a movie you'll either love or loathe. There is no middle ground on this one.
I would also recommend "Inside," and on the subject of Dimension Extreme, the DVD label will soon release Dario Argento's final piece of the Three Mothers Trilogy, "La Terza Madre" (a.k.a. The Mother of Tears) this coming September. However, one of the most affecting horror films of recent years would have to be "The Descent"; throughout the entire picture, I couldn't believe it was made so recently. It definitely has the feel of a classic horror feature!