@Daniel - Wrong 'Private Parts' ;)
@Nicole - Some great suggestions there.
The original Maniac (1980), and it's 'loose' sequel The Last Horror Film would certainly qualify.
- Let's Scare Jessica to Death
- Peeping Tom
- Private Parts (1972)
- Santa Sangre
- Session 9
There's bound to be tonnes more (especially within the slasher/serial killer genre), but they're all I can think of at the moment...