"Martyrs" is the first horror movie I've seen that I would put within hailing distance of Hellraiser. Here's a review; I'm not linking to a trailer, but you can find them on Youtube quickly. To put it mildly, "Martyrs" is postdoctoral-level horror, and don't watch it unless you would characterize the Hellraiser films as "intriguing". (Spoiler alert.)
Why does it deserve such high regard? Because "Martyrs" has a concept which intrudes into the real world and scares us that way, rather than just splashing blood on walls. Without a concept, a horror movie is just shock - and most fall into this category - and whether you're laughing or gasping, shock quickly becomes boring.
Hellraiser doesn't just present you with monsters and torture, it presents a whole new cosmology. It argues that there's a world underneath ours and that the rules we think govern reality are not the rules at all. ("Event Horizon" does something along these lines as well.) Turn of the century strange fiction does something similar. There's a horror of the irrational, a terror at the revelation that the comforting predictability of the rules we think govern the universe is an illusion; that either we only know the rules on this one world or in this one spiritual plane and these rules are so provincial that they might as well be an illusion.
The concept in "Martyrs" examines a similar idea, one that many humans in the real world take seriously - an afterlife - and posits a question. If we take this part of religion seriously, and many (most?) of the world's great religions have at their core a recognition that through suffering we attain transcendence, then shouldn't we explore this further? The protagonist in "Martyrs" encounters a cult that captures and tortures people precisely to get them to the point where they can see this next world. When this main character is tortured beyond all imagination to this stage of "transfiguration" where she can see into the next world, the cult leader gathers the rest of the group's higher-ups. The leader asks the dying protagonist what she sees, and of course it's kept secret from the audience - and then very soon after, the leader kills herself. "Keep doubting," she says to her second-in-command just before she puts the bullet in her own brain. The ambivalent ending is fantastic. Did the leader kill herself because she realized she had just been torturing people for no reason? Or, did she finally have a direct report of how wonderful the afterlife is - and acted rationally, given that information?