I really had to pick my brain at first, but after a little consideration the past decade doesn't seem to have been quite so bleak a period for horror films as I initially thought.
1. Castle Freak 2. The Living Dead Girl 3. Interview with the Vampire 4. Lord of Illusions 5. The Devil's Backbone 6. In the Mouth of Madness 7. Dead/Alive (aka. 'Braindead'

8. The Two Orphan Vampires 9. Cemetery Man 10. Session 9
Honorable metnion: 'The Eternal', 'Book of Shadows: Blair Witch 2', 'Ginger Snaps', 'Shadow of the Vampire', 'Bloodstone: Subspecies II', 'Nadja', 'Mary Reilly', 'Cronos'