Nine Inch Nails's unreleased long-form video for the EP broken was a take on a snuff film. It's not real, but it's really grainy, and, unlike The Blair Witch Project, actually increased the feeling of reality while watching the film.
Really, really, really, graphic stuff. Faces of death, even the non-faked scenes, ain't got nothin' on this.
For a more hi-fi and artsy type, see Bob Flanagan in the video for NIN's Happiness in Slavery. Flannigan is also the focus of the biographical documentary "Sick" (full title: Sick: The Life & Death of Bob Flanagan, Supermasochist), which you can find at better video stores near you. It's actually a very interesting look at the relationship between Bob and his wife (who did many of the acts upon him). Mr. Flanagan passed away from Cerebral Palsy (I think). I'll double check that and update later.
Editor's note: He passed away from cystic fibrosis, and NOT cerebral palsy.