Have you seen Rear Window? A thriller rather than a horror film, strictly speaking, but one of Hitchcock's very best films, and definitely his most nail-biting suspense wise, I'd say. And yes - there's a bit with a door (near the end) but I don't want to spoil anything about it (make sure no one else spoils it for you either). :)

On another note, have you seen Twin Peaks: Fire Walk With Me? Don't watch it unless you have already seen series 1 and 2 of Twin Peaks as it contains major spoilers (including the identity of the killer) but I highly, highly recommend it if you have seen Twin Peaks series 1 and 2. The film is about the final days in Laura Palmer's life before she was murdered (the event that kicks off the TV series and the investigation into her death), and it features what is, as far as I'm concerned, one of the scariest slightly open doors I've ever seen. It also emphasises the supernatural horror elements of Twin Peaks far more than the TV series did (at least, series 1 and 2 - the later series 3 is much stranger and more horrific, and you'd love that too). :)