I enjoy movies along the lines of the Exam. Any other suggestions? I have already watched Cube.
Have you seen any of the sequels to Cube? I believe there are two. I loved the first one, but was hesitant to check out the others for fear of it being overdone and weak.
As for other movies similar to those...hmmm...
Them - French horror/thriller film that The Strangers (which I also liked) was essentially a remake of. There are subtitles, but not a lot (not much dialogue). Cool, creepy, and a better version of The Strangers.
Trollhunter - Also foreign (Norweigan), but a really cool found-footage movie about trolls in Norway, and the man who hunts them. It's fricking awesome.
This was a list I gave to Pilot Tiger a few weeks ago. These are similar to this thread (I removed Them since I already mentioned it)...
Cube (1998) - very cool concept for a movie
Triangle (2009) - watch no trailers for this one because they ruin the movie
House of 9 (2005) - cool movie about 9 people trapped in a house; survivor gets the money
Funny Games (2008) - fricked up movie about teens who torture/murder people for fun (it's a remake with Naomi Watts)
Some of those are more thriller-ish than scary/horror. But all are good. I have them ranked in the order that I'd recommend watching them in. You should be able to watch trailers for all of them to decide for yourself, but definitely don't watch one for Triangle like I said. Just maybe read a short synopsis about it and either watch it or don't. It's good though.