Recently ordered a few movies, and added some anthologies to the list. I got Torture Garden, Waxwork, Theatre Bizarre and Trick R' Treat coming in the mail. I love Trick r' Treat, but haven't seen the others.
Watched Theatre Bizarre the other night for 3 segments in I think but I was so tired it didn't hold my interest for too long. Bit disappointed with it actually but will give it a second watch when I've had a bit more sleep! Trick R Treat was such a disappointment for me! I didn't like anything other than the guy killing the chubby ginger kid part and the creepy sack boy.
Japan do have a lot of horror anthologies as well.
Some decent ones
Prayer Beads aka omoinotama (2004) (some bizarre tales , some entertaining ones - loved the cat's paw one which was another version of the monkey's paw) http://www.youtube.com/watch?v=Z2SR1ozwYoI