We had a thread like this on the classics board a few months ago; I wrote the following:
How about African adventure pictures?--in the King Solomon's Mines mold, I mean.
No one makes true swashbucklers any more--Pirates of the Caribbean notwithstanding--and they're probably the films I've had the most fun watching. (I've got a real weakness for anything pirate-, musketeer-, knight-, swashbuckler-related.)
Westerns, definitely.
Mysteries, in the real fair-play sense. What's the last cinematic mystery actually to have clues--The Last of Sheila? Let's hope Branagh's Murder on the Orient Express changes that. [EDIT: it's a decent movie, but it didn't change that.)
Ghost stories, as distinguished from general "horror." The Others was probably the last actual example I can remember.
telegonus also noted the old dark house (ODH) picture--a lovely amalgam of horror, mystery, and thriller--a suggestion with which I completely agree.