Nothing finishes a horror movie better than a twist ending. You spend that adrenalin roller coaster getting scared and spooked and feeling all jumpy, then that ending comes and just fucks you right up. Whether it was a dream, or the killer got beat down then rises up again, or what have you, I live for those moments. My favourite though, is when someone who was a victim of the killer, turns out to be the big bad. I love it.
It gives me trust issues, sure, but that circumvention of expectations is what gets me going. And it makes these films into a must watch too.