Quite a lot to choose from. What kind of horror do you like? In terms of recent horror flicks, "The Descent" ranks among the best modern horrors (a group of cavers get trapped underground and start getting hunted by a race of cannibals). It's ace. If you like a gory horror with a few decent gags I strongly recommend "Shaun of the Dead". My favourite horror film of all time is "Evil Dead 2" - still funny and scary after all these years.
In terms of where you can get them from, err, how about the shops...?
shaun of the dead is no way a gory horror although it is funny,its more of a p+ss take on the film day of the dead.try texas chain saw massacre,the exorcist,halloween or friday the 13th.personally its films with clowns in,they scare me summink chronic.
You should try and watch Switchblade Romance, its a french subtitled movie by Alexandre Aja who has remade the latest Hills Have Eyes movie, It is a graphic suspenseful movie and not for the fainthearted. If you havent seen it also, The Exorcist is the best horror movie ever.
Go to the cinema and watch Hostel. Went last night, wot a film. If you dont want to go out try Saw 2 which is now out on DVD or the Devil Rejects this is a very sadistic and gory film makes texas chainsaw look like texas toysaw. Be warned.