If you liked 1408, maybe the Paranormal Activity films are for you? Or what about Hide and Seek? Or The Others with Kidman? Maybe even Identity, if you haven't seen it yet.
Then there are the classics like Fight Club, Memento, Twelve Monkeys, Machinist, One Hour Photo, The Prestige, Cube (only the first one), Saw (only the first one, and maybe, just maybe the second one, too, but the rest are crap) and so on.
Oh, and I can second the suggestion for Dark City, it's a not very well known gem.
Some more suggestions I liked: Primer, Pi, The Jacket, Stay, The Illusionist, The Mothman Prophecies.
Or if you really want something you have to puzzle about for hours, try some David Lynch films, like Mulholland Drive or Lost Highway.