Asian horror/exploitation - Martyrs, Ichi the killer, Audition and Three Extremes are all good.
Italian Horror/exploitation - City of the Living Dead, The House Next To The Cemetery, Zombie, Hell of The Living Dead, Nightmare City,
Those are some exploitation films I started out with, some are more horror but extremely brutal.
You could also try Dead Alive, Genesis and August Mortums Underground and The Guinea Pig Series.
I promise you that the Asian horror I posted will be more gory than The Grudge or The Ring times ten.