I agree with everything on the list. Session 9 was one of the few movies that freaked me out. Some of the other ones mentioned were pretty good too. I might also add the original Japanese versions of The Grudge and The Ring (much creepier than the English versions).
Se7en was more of a crime-drama and Event Horizon was more sci-fi but they're both pretty freaky.
I had to chuckle at The Girl Next Door... the first thing that popped into my mind was the 2004 movie starring Elisha Cuthbert lol
I remember seeing a movie when I was a kid called "The Changeling" starring George C Scott that scared the Hell out of me.