OK, of course make sure you've seen the classics: Hellraiser, Helloween, Nightmare on Elm Street, usually only part 1 and 2. For newer stuff try Jacob's Ladder, Event Horizon or Session 9. If you feel brave watch Eraserhead, if you feel very brave watch Begotten. For pure weirdness try Uzumaki (Vortex) or Gozu. Also, of course, Lost Highway, solely for the Mystery Man scene. Not entirely horror, but some more movies to watch could be Eyes without a Face, The Vanishing, Videodrome and Dead Ringers. For gore go with stuff by Lucio Fulci or Dario Argento and Takashi Miike.
Then stop coloring and visit Meat187's mix archive!