If you watch it from the viewpoint of the oldest 10 y.o. son, then it is an effective horror. Imagine the only adult around taking care of you is your widowed dad and he has become crazy. And he's kidnapping people, bringing them home and killing them. Nightmarish crap!
It could be a psychological thriller, too. Either way, they're both great movies!
I can see an argument that it isn’t a “pure” horror, but it is certainly a psychological thriller with strong horror elements. “Close enough for government work.” Plus it’s always great to see Bill Paxton.
Never watched Unsolved Mysteries, but here are some semi-recent horrors that managed to creep me out without relying on jump scares or overt gore:
It Follows
The Living and the Dead (2006)
Take Shelter (2011)
Noroi (2005)
Saint Maud
Grabbers (2012) [*actually a fun comedy monster flick]
Sleep Tight (2011)