MINDHUNTERS (2004)

Mindhunters are a group of young FBI students who are training as profilers. They are tasked by their instructor Jake Harris to travel to a small island, used as a training facility by the FBI and the military. Harris has arranged an elaborate training scenario for his students; they have to create a profile of a serial killer who has committed a murder there.
They begin their investigation the following day. The group encounters an elaborate trap, that kills one of them via liquid nitrogen. Convinced that this wasn't an accident, the group heads to the dock to leave the island. Another trap is triggered, destroying the boat docked there. Tensions run high among the group, and they find messages from the killer, that indicate when more victims will be killed.
Several more of the profilers are killed, while the investigators use the resources at hand (including a forensics lab and computer database) to process the clues they have. Every time that results point to one of them, he (or she) dies in a few hours, so it isn't possible for the remaining investigators to find the real killer. There will be only one survivor: the killer, or the one who will kill him.

It’s not properly a horror story. Most of people would put it into the thriller genre, but I really like the way it can frighten people using only the psychological aspect. It’s not horrific or petrifying, but, especially if you watch it in the right place (dolby surrounded room with a big TV, for example), the more you watch it, the more it makes you have shivers down your spine. So at the end, when you turn the light on and the TV off, you feel less anxious. But the following night you might dream a killer under you bed!