If you want a good psychological thriller, watch an indie film called "Pontypool".
I found it on a search through Netflix a year or so ago... didn't know a damn thing about it (never heard of it), and honestly that's probably the best way to watch it.
Only movie that actually gave me chills well into the second half, and even the end. It's heavy narrative between the DJ and his co-workers/callers. It gets you involved by letting you visualize for yourself what all is happening outside of the radio station, and an explanation for how it ends, based on the DJ's conversations. Lots of tension.