Okay, what I think of as "philosophical" or cerebral films.
Almost all of John Carpenter's films. It's a shame when some of them are marred by shoddy production values, but there's almost always some sort of ruminative thread running through them. Ferinstance, "Ghosts of Mars". Terrible acting, jarring pacing, but afterwards you realize a theme that's common to many of Carpenter's films ... man vs. man, vs. a Hostile Universe. And there's thought given to the characters ... the last two survivors are opposite poles ... Ice-T's character is anti-drug, male, black, criminal, while Nastassia Henstridge(sp?)'s character is a druggie, female, white cop. But what unites them is their common cause against ever encroaching Death.
Big Trouble in Little China had a rather hard to get joke about a Hero who is really a sidekick, which didn't quite work, but it was a cerebral thing as well.
"They Live" was a pretty blatant metaphor for the working class vs. the privileged elite, and was saying pretty bad things about the privileged elite.
"Starman" ... another meditation about wildly different people coming together in understanding (this time an alien and a grieving widow).
"The Thing", again, the theme of man vs. alien, vs. the environment, and ends with two men, one who must be an alien, waiting to freeze to death together, and their companionship in the face of death is ultimately more important than who is an alien, which seems to dismiss the horror and paranoia of the entire film as unimportant.
I think "The Exorcist" is pretty philosophical, if you can throw theology into the Philosophical bucket (which you sure can do ... the ancient Greeks did).
"Drag Me to Hell" is pretty philosophical in it's examination of it's protagonist's psychology ... it's almost overwritten in it's fiddly detail regarding the state of Christine's "black heart". Think of the dinner scene, and the way Raimi focuses on Christine's face as she tries to calculate a way to justify herself to the mother-in-law. What is the "right" thing to do is certainly a subject of philosophy/theology.
"The Shining". Well, every frigging Kubrick film is philosophical and meditative. I've come to see the film as focusing on the character of Wendy as the central character, and the whole film as a condemnation of her blindness regarding the welfare of her kid in the face of Jack's insanity. The film focuses on his insanity and Wendy's blindness to it, until it reaches an epiphany of AWARENESS. Wendy is the true evolving character in the film, because she progresses in awareness, while Jack degrades and becomes trapped in the "maze" of his own mind. The whole movie is a meditation on why people stay in life-threatening and child-threatening marriages, and makes a judgement about it.
To contrast with Non-Philosophical Horror ... someone upthread mentioned Toxic Avenger ... Friday the 13th films would seem to be the same ... not a trace of the ruminative, cerebral, intellectual, "philosophical". Tits, gore, and perhaps a perfunctory attempt to justify it by aiming the gore against "sinners".
What the original poster seemed to be asking for were horror films that were unusually thoughtful, where one would identify the thoughtfulness as one of the major ingredients. That's what I'm focusing on in the above films.
From Merriam Webster Online
phi·los·o·phy Listen to the pronunciation of philosophy
Middle English philosophie, from Anglo-French, from Latin philosophia, from Greek, from philosophos philosopher
1 a (1): all learning exclusive of technical precepts and practical arts (2): the sciences and liberal arts exclusive of medicine, law, and theology <a doctor of philosophy> (3): the 4-year college course of a major seminary b (1)archaic : physical science (2): ethics c: a discipline comprising as its core logic, aesthetics, ethics, metaphysics, and epistemology2 a: pursuit of wisdom b: a search for a general understanding of values and reality by chiefly speculative rather than observational means c: an analysis of the grounds of and concepts expressing fundamental beliefs3 a: a system of philosophical concepts b: a theory underlying or regarding a sphere of activity or thought <the philosophy of war>4 a: the most basic beliefs, concepts, and attitudes of an individual or group b: calmness of temper and judgment befitting a philosopher