Mad World is too cool for school. There are many things about Donnie Darko that I just dig. I watch it many times over the course of a year.
And I see your point about horror as there was a litte visual horror in Darko. That rabbit mask gave me the creeps.
I too liked the Thing and Invasion of the Body Snatchers. But ideally, I prefer horror movies that expose the worst in humanity such as Se7en, Texas Chainsaw Massacre, Silence of the Lambs, Serpent and the Rainbow, Ed Gein, etc.
Then there are real-life horrors that stick in my head like the cult ritual slayings in Matamoros, Ed Gein, John Wayne Gacy, et al. It is horrifying to think that people like that really exist.
Yes, too bad they didn't burn a Donnie Darko soundtrack CD, really ! I highly recommend you the DVD, which I bought last week. There are two different audio commentaries (filmmaker and technical crew), 20 scenes that didn't make it to the final cut (with audio commentary), hidden bonuses, and the usual resumés. It's neat !
Yes, I totally agree that the worst monsters are those who walk among us. To me the ultimate horror flicks will always be WW2 documentaries. It's a good thing the Germans did a movie about Hitler that showed him in a serious light and did not try to make him some fantasy bogeyman. When we demonize the monsters that walk and sometimes prosper among us, we enable the following generation to surprise us with another wave of horror.