Mindfuck shows, eh? I've heard good things about Hemlock Grove, but it's a Netflix exclusive.
The Frighteners is a Peter Jackson film that starts off campy... but halfway through it gets REALLY fucking dark.
The Prestige is an interesting movie with a crazy twist at the end. Lots of good acting in that movie, and of course it's directed by Christopher Nolan.
I was pleasantly surprised by Cabin In The Woods, which turns the horror genre on its ear. A lot of people complained about the ending, but I think they expected a different movie altogether.
The Cell is an excellent mindfuck movie with delicious visuals. Yeah, it's got Jennifer Lopez in it, but just block that part out and watch it.
The Thirteenth Floor is a movie that came out around the same time as The Matrix, and had a lot of the same themes. This was decidedly more cerebral. Dark City is another movie from that time period, again with the same kind of theme, but much weirder.
Cube is an unconventional horror movie with an insane premise that you'll most likely lose sleep over. There are two sequels that expand on it (but the acting is subpar).
Arlington Road is an interesting twist on the political thriller genre. It's not at all predictable.
There's no shortage of anthology series with dark themes. The Twilight Zone, The Outer Limits, Tales From The Crypt, Freddy's Nightmares, Are You Afraid Of The Dark?, Tales From The Darkside, Alfred Hitchcock Presents. Those are all great.
Speaking of which, the classic Tales From The Crypt movie is extremely twisted.
I recommend Stephen King movies. The acting can get kitschy at times, and most of his movies are horribly dated - but if you can look past that, there's a lot of incredible stuff out there. He's not typical slasher horror, but the good stuff that'll keep you up at night.
The Stand
The Mist
Creepshow
It
Salem's Lot
The Dead Zone
Nightmares & Dreamscapes
I'll stop before I end up writing a novel.