The Last Broadcast is a "documentary", produced in 1998, regarding the disappearance of two cable broadcasters, their cameraman, and their psychic into the Pine Barrens in search of the Jersey Devil, from which only the psychic returns, to be convicted of their murders and sent to prison, where he mysteriously dies.
All of this we know within the first 5 minutes of the film. The unraveling of the plot, the gathering of details, and the growing horror of what is revealed is rather remarkable.
Stirring, haunting, and just plain fun to see what people can do on a low budget (The Blair Witch Project, eat your heart out), this is a great recent example of horror with a plot...