Well, there's the Nightmare on Elm Street series. There's two boxsets out right now. The Infinifilm one and the standard eight disk boxset, but either one is good. Both are reasonably priced ranging from 20-40 dollars. You get all seven films excluding Freddy vs. Jason, but it's a great set with loads of extras.
Then there's the Evil Dead series. There's a complete boxset for ED1 for about 30-40 bucks, but its great to have. They may or may not come out with a special EV2 or Army of Darkness with the copyright problems. But you can still pick up the 2nd and 3rd for like 5-9 bucks a piece. They're just pretty bare bones when it comes to extras with only commentary I believe.
The original asian horrors like Ringu and the Grudge are good as well. I hear the Host is pretty decent.
Can't think of any more at the moment. Hope this sparks your interest though.
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"You know, I've been to Hell. And I didn't see your Clothesline anywhere." - Kane to JBL