Audition (1999).
Japanese psychological horror movie that starts out quite innocently and becomes very demented and disturbed towards the end. Do not read about it, do not read the plot, do not read any spoilers, just watch it while knowing as little about it as possible. I think you will enjoy this one.
Saimin aka Hypnosis aka The Hypnotist (1999).
Another Japanese horror movie, but with less of an edge as it stars two JPOP idols. Still very peculiar in that weird Japanese way. People are dying and committing suicide in bizarre ways and the detective suspects that a hypnotist is making them do it.
The Heirloom (2005).
A good but somewhat depressing supernatural thriller from Taiwan, produced by HK media company Mei Ah. It revolves around the old Asian practice of using a stillborn child or aborted foetus as a black magic charm.
Angel Dust (1994).
An arthouse psychological thriller from Japan. It is slow, strange, and requires careful watching. Not exactly scary, either. But it's quite rewarding if you follow the plot through, and think about what it all means at the end. You can see the whole thing on YouTube here:
https://www.youtube.com/watch?v=_znk0jJpaXYHong Kong cinema doesn't really do 'horror' in the traditional sense. The more violent horror type movies were made in the 80's and 90's and are thus filmed in that somewhat campy HK style. In the last ten years, there has been something of a revival of supernatural thrllers, but they are, by and large, more slow and depressing that directly scary. I find Japanese suspense movies like Audition to be much more scary.