I liked Saw and thought Dead Silence was okay, but Death Sentence was the movie that showed me Wan wasn't just another run of the mill Director. The movie is pretty good, but the chase scene is what makes it stand out from the others. It's an extremely complex continuous tracking shot as the character is chased through an alley and through a multi floor parking garage. There is a making of on the DVD that covers this scene that is well worth your time as well.
Insidious is probably my favourite movie by him though. Very creepy, even if it does fall apart near the end when Darth Maul is revealed to be the villain. I will wait to vote until I see The Conjuring though, as I have been hearing nothing but good things about it, could easily top Insidious. Hopefully I will catch it in the next week or so.