The Last Broadcast (1998) reels you in.

You can obviously see how this is a predecessor to The Blair Witch Project, which really makes it very interesting to watch. There are a number of things the two films have in common like investigating a local legend (in this case, the Jersey Devil), the fake documentary approach, the question of supernatural or not, the use of mystery, making your no budget work for you rather than against you, etc. Heck, they both even have two directors. The Blair Witch Project feels more polished and convincing to me (the way they use 16mm film and a Hi8 camcorder helps I think) but I also like this film. It's true the ending doesn't quite deliver (I was surprised though) and sometimes it feels repetitive or stretched out; however, I still really enjoyed this film. The acting feels more real in The Blair Witch Project and their ending is better but both films have merit.