Ju-on: The Grudge.
Absolutely amazing film that keeps you captivated from begining to end. It is very strange and eerie, with beautiful cinematography. The second one is good too. One of the many great Asian horrors which have had aweful Hollywood remakes. Ringu and Dark Water were also great Japanese horror movies which were destroyed in such a bad way!

Since a lot of you are talking about Ghibli films, I have to say that my favorite of those is Princess Mononoke. It's the first one I ever saw, and I still watch it with as much as interest as I did the first time. The story is lovely, and the animation is stunning.