I saw Open Water today and really liked it. At times it has a documentary feel to it, giving it more of a sense of reality. I also know that it is all actual footage with no special effects, which also helps. It isn't a scary movie so much as a deeply disturbing movie. It didn't really make me afraid of water, but it did touch more core fears of desertion, loneliness, lack of control, and hopelessness. The very fact that it is so low-key is why I think it is so effective. You have no choice but begin to explore the true horror of the situation in your own mind. I would have to say the thing I liked the least was the few times that the movie cut back to the "mainland" and took you out of the perspective of the stranded couple; they didn't know what was happening outside of their own reality, so why should the audience?
The most merciful thing in the world, I think, is the inability of the human mind to correlate all its contents. ... The piecing together of dissociated knowledge will open up such terrifying vistas of reality, and of our frightful position therein, that we shall either go mad from the revelation or flee from the light into the peace and safety of a new dark age.
~ Howard Phillips Lovecraft