Dead Alive is amazing. The goriest film you will ever watch and yet it is so entertainning. I don't know if you've seen Alfred Hitchcock's Psycho but it is pretty essential.
Is Dead Alive a series of Japanese movies? If so, I watched them in college with a roommate. Not horror in my book, but definitely the most blood I have yet to see in a movie. And I love Hitchcock. As I said to a previous suggestion, smart social commentary can get me through the dread of watching tense scenes.
No it's a New Zeland film directed by Peter Jackson. Also, if you like social commentary, David Cronenberg and Michael Haneke are great movie directors. Haneke might be surprising since people link him more to drama than horror, but you can see influence from the genre in Funny Games, Caché and even The White Ribbon (Village of the Damned). Let the Right One In (the original) is also the best vampire movie of the last 25 years and propably the best film about bullying.