I must recommend a few that no one else has mentioned. (If you have, gomen!)
Pray (Its really good if you like ghosts and twists.)
Cursed (Excellent movie! It has Susumu Terajima-san!!!!)
Infection (Its really good, and more of a psychological horror... oh and one of the nurses in it played in the English version of The Grudge as Yoko, the original house maid and the first one to get caught by the boy)
How could I forget Pyrokenesis? Its excellent, not exactly horror, but still very good! It has two very familiar faces as well: Hideaki Ito is in here for anyone who has seen Onmyouji 1 & 2, he played Hiroshima. And Kaori Momoi is in here as well, she played "Mother" or "Mom" in Memoirs of a Geisha.
I must recommend "The Maid" its in half Chinese half English, so keep your ears peeled because there is a lot of English spoken but not a lot of Chinese. Very scary as well, too bad I was doing something and got to pay only 3/4 attention to it...
Premonition is good, not necessarily "horror" but very good. In fact, the English "Premonition" has almost nothing to do with it. Its a very loveable film, I love it and I recommend it, but you have to pay attention.
Unborn but Forgotten is a K-Horror (Korean) and its really good. It has a the main plotline of a ghost haunting something or someone, but adds a really nice twist to it.
The last ones I will recommend are Onmyouji 1 and 2. Very excellent movies, some humor, and demons, ghosts, excorcisms too. I love the 2nd one best since it was the first I saw.
I wasn't kidding when I said I watched a lot of foreign films... hope you watch and enjoy these as much as I did.