Kevin Spacey in Se7en (just listen, really listen to him when he says "Oh...he didn't know" towards the end of the movie. The high point, acting wise, of the movie, IMO)

Willem DaFoe in Shadow of the Vampire

Christian Bale in American Psycho

Jennifer Connelly in Dark Water

Sigourney Weaver in Alien

Ellen Sandweiss in The Evil Dead (when she's possessed)

That really sums it up:D

Tom Waits is another good one. I didnt particularly like Coppola's take on Dracula, however Waits put in a great performance as Renfield. Easily the best Renfield since Dwight Frye, IMO.

Joe Spinell in Maniac

Bill Mosley in TCM 2 and House Of 1000 Corpses (and probably Devil's Rejects when I get round to seeing it).

to whoever mentioned nicholson from the shining, i agree that his performance was very well delivered, but i have to say that i liked shelly duvall more. Just the look on her face when he was hacking through the bathroom door, flawlessly terrified.

also, if you consider red eye a horror, through it falls under the action/suspense category, you no that cillian murphy did an amazing job as jack ripner. Of course he always delivers his roles well.

As for sigourney weaver in Alien, i don't think that her performance was THAT spectacular, i think maybe the movie just covered for her. But she is a great actress nonetheless.