As I worked for a Horror film festival for a few years I've seen many, many obscure titles (and also met many of the big names in the genre), but I'm glad that there have already been some nods to horror from countries other than USA/UK.
totempole When you mentioned the Danish Nightwatch, for a moment I was confused, thinking Well, Night watch is russian, not Danish but I see it's a different film 
The russian one is a worthy, visually stunning entry into the vampire subgengre.
Without appearing 'worthy' other foreign language horror films (that happen to be great are:
The Devils Backbone (2001). Those of you who liked The Orphanage will probably like, or maybe love this one too. The Orphanage was produced by the director of the Devil's Backbone (Guillermo Del Toro), and his style was truly stamped all over The Orphanage. Set in (what is about to become) Franco's spain at the end of the civil war it cleverly intertwines several threads of different stories to a satisfying end. I love it.
Ringu, Let the Right One In have already been mentioned, rightly so. Asia in particualr has produced some stunning efforts - Battle Royale (maybe not technically horror is plenty horrific none the less, particularly is you're a parent or a teen... Audition. Dumplings. Freezer. The Eye. Imprint. Old Boy.
The French have had some very interesting (and controversial) entries in the last decade. Probably started with Trouble Every Day (2001) and Irreversible (2002) and continues through High Tension (2003) , Frontier and Inside both 2007 to Martyrs (2008). Mostly brutal and shocking, considered 'extreme' to a mainstream audience, even 'sick' they each seem to have something to say.
My actual favourites change, but off the top of my head right now I'd say:
The Exorcist (1973) already mentioned and really needs no introduction.
From Beyond The Grave (1974) I love me a cheesy anthology and nobody did them better than Amicus (rival studio to Hammer). The Mirror segment is my favourite.
The Evil Dead (1981) Made on a shoestring, yet terrified a whole generation of kids (and adults, I should imagine!). Join us!
The Dead Zone (1985) Probably my joint favourite (with Exorcist). Seen it so many times - just love it. Full of great performances (Christopher Walken, Tom Skerrit and Martin Sheen)
From the 90's, Scream (cleverer than it appears, and revived a whole sub genre!), Misery, and the Sixth Sense.
Constantine (2005) I'm ashamed to say how much I love this film, as it's faaaaaar too mainstream for my usual tastes. But throw in a bit of possession (my achilles heel when it comes to horror) and Angel mythology (ditto - love films such as Dogma and Fallen) and, yeah, I'm suckered in.
Shaun of the Dead is bloody great (and SO much more fun if you are familiar with zombie films). Wait, it's a three way tie for my favourite!
Another fan of 28 Days Later here.
Ugh, I'll have to stop because I have to feed the baby... will probably come back to pipe up again (or indeed if anyone wants a particular 'type' of recommendation, there's probably something I've seen that will fit!)