Not gory at all, but there are three I can think of that are just creepy with suspense and just that flesh-creeping feeling.
In the order that they were made:
Manchurian Candidate (the original ONLY -- the remake can't touch it)
Bunny Lake is Missing
Dead Again
All of them have surprise endings that make you realize that certain characters are not who/what they would seem to be. Nail-biters, all of them.
(PS: Anytime DH or I encounters something that just gives us that weird shudder-up-the-spine feeling, one of us always looks at the other and says, "kindest, bravest, warmest, most wonderful human being I've ever known ...")