The first "documentary"-type horror movie I'd ever seen was The Blair Witch Project. What attracted me to this film was the way in which the movie was shot, promoted (more on that in a minute), and the Blair Witch's resemblance specifically to a tale of southern folklore that I'd grown up hearing about due to several families I knew who were related to the Bell family of Tennessee: The Bell Witch.
There was SO much hype surrounding this film at the time that even our local news devoted time to it, and a lot of internet promotion touted the film as actual recovered footage from events which really happened. In this respect, it was probably one of the first movies to build such hype over the world wide web in what is known today as viral marketing.
This movie was another one that didn't rely on gore and violence, but worked well with all the movie's other elements: the setting was creepy, with dark woods and sudden movements, bizarre and unnatural sounds as well as sudden, heart-stoppingly loud sounds, steadily escalating fear and paranoia, lots of motion sickness-inducing camera work, and some of the dialogue was unintelligible to me because of the way in which it was filmed.
Still, it is a pretty scary movie if you could manage to suspend your disbelief (because really, there is NO WAY three college kids could have just disappeared off the face of the earth and it not be mentioned anywhere by anyone) and just enjoy the "footage" as it was intended.
Image source: Wikipedia