Try:
-Perfect Blue
Anime, but a good psychological thriller.
-The Psychic
Obscure, slightly cheesy Italian thriller that pay offs in the end. Hard to find; not on DVD.
-Audition
Disturbing Japanese horror/thriller movie. Has a stong psychological angle too.
-Cure
An OK Japanese psycho thriller
-Don't Look Now
Weird movie with Donald Sutherland has a good rep, I thought it was only OK.