One idea might be to grab a couple of older books on Hong Kong or Asian cinema, many of which can be found through used dealers on Amazon for as little as a couple of bucks each, and use them as erzatz checklists. We've discussed many of them in this thread:
http://hkmdb.com/phpbb/viewtopic.php?t=42478
Probably the best one, if you were looking for the cream of the crop of HK cinema, would be SEX & ZEN & A BULLET IN THE HEAD, which, while often revealing a bit too much plot wise and prone to hyperbole, pretty much covers the top movies any newcomer to the field SHOULD see (including horror films and thrillers), as well as a many less-known gems.
As, err,
fartbubble points out, Korea and Japan have a better track record with thrillers and horror films, particularly on a technical level, though the Hong Kong films THE EYE, NEW BLOOD and INNER SENSES were probably the first three to successfully adapt westernized horror tropes to inherently Chinese spook tales, leaving behind the silly comedy respites, goofy green lights under chins, and gratuitous Helena Law Lan.
I recently watched the Korean film GHOST, starring Kim Ha-neul (a personal favourite actress) and was surprised to finally see a Korean horror piece that maintained its internal logic right through to the end. I'd strongly recommend A TALE OF TWO SISTERS as well. A solid work with some genuine creepout moments.
Too often, Korean films feel like they were filmed without completed screenplays, so you will likely end up with a few style-over-substance movies in your collection. Here's a few thriuller/horror/sci-fi to AVOID unless you don't mind looking at gorgeous images with poor quality writing: RED EYE (the Korean train flick, not the American plane filck), NIGHTMARE, PHONE (close but ultimately no cigar), BLOODY BEACH, TUBE, NATURAL CITY (althought the FX are phenomenal in this), YESTERDAY and R U READY.
From Japan, I'd recommend RING, RING 2, DARK WATER, JU-ON (theatrical version) and KAIRO (aka PULSE). All of these have inferior American remakes (PULSE comes out in the spring), although if you've already seen them, your expectations of the originals might be dulled. The BAYSIDE SHAKEDOWN movies (three to date, although the third is a spinoff, the title of which eludes me) are spirited thrillers with some nice comic touches.