One that I've mentioned before but misspelled the title of - I thought it was "Mae" - is
"May" (2002) - Psychological horror/dark comedy about a lonely young woman traumatized by a difficult childhood, and her increasingly desperate attempts to connect with the people around her.
...and, as Frank N. Furter himself said, "If you want something visual that's not too abysmal, we could take in an old Steve Reeves movie."
I enjoy dark comedies - no movie is darker than real life - and I like movies about the occult and creepy stuff if they are well executed. (A pun!)
One such I mentioned in the post just above is "Cthulhu", and another one I've recently enjoyed is
"Colour From the Dark" (2008) - Pietro and Lucia live on an isolated farm with Alice, Lucia's younger sister. Their life is peaceful and good, in spite of the hard work. One day, while drawing water from the well, Pietro and Alice accidentally free something from Earth's womb. A strange and alien color flashes underwater, at the well's bottom, then disappears. From that moment on, inexplicable and unpleasant events start happening all around the farm... Based on the H. P. Lovecraft story "The Color Out of Space."
I really enjoy horror, but not gore. In fact, as I get older I think I'm getting a little bit more squeamish. I feel that gore does not necessarily equal horror. Few things are gorier than an autopsy, but to me an autopsy contains no elements of horror - no more than a butcher's shop does, anyway. To me, H. P. Lovecraft is like the antimatter version of Pastor Russell. Lovecraft felt that as we learned more about the nature of the universe, we might find it is more horrible than we imagined. He posited forms of intelligence that were completely alien to the mainstream Protestant mind; intelligences from beyond space and time, or from the depths of the sea, that were completely uninterested in the fate of humanity.
In other words, good stuff.