Diehard
Elegant
That story is, in fact, based on a true story, too. There was a film made called An American Crime with Ellen Page and Catherine Keener that is, supposedly, a more realistic telling of those same events. I haven't seen The Girl Next Door, or read the book, yet, but An American Crime felt like a punch in the stomach. It was a very hard watch.
JD's recommendation of Martyrs, Inside and Fronteirs is probably what my first recommendations would be, too. Inside and Martyrs are probably my two favorite horror movies of... well, maybe ever. Maybe. Some other recommendations, off the top of my head:
Black Christmas (the original)
A Tale Of Two Sisters
The Human Centipede
Let The Right One In/Let Me In (they're both great)
The Woman
Dream Home (the Chinese movie, not the recent Daniel Craig one)
Texas Chainsaw Massacre (the original)
I Saw The Devil
Rabid (Cronenberg)
Cold Fish
Nightmare Detective
Frozen
Thirst
The Innocents
Shutter (the original)
Possession (the one with Sam Neil)
That should be enough to get you started.
I watched Frozen and Human Centipede. Frozen was okay, wasn't really too into it. Human Centipede was just bizarre. I didn't know whether to laugh or cringe during the film. Guess neither was my type of film, thanks for the suggestions though. I'll definitely watch some of the others on that list.