Mr. Veng is my fave of the three, although it's the first one I saw, so maybe it has a special place in my heart for that. I haven't seen Thirst, but I've been in love with the trailer for over a year. I think when I wanted to see it, it wasn't available on Netflix and I haven't gotten around to it since.
I saw I'm a Cyborg, But That's OK a few months back, which is quite cute if you haven't seen that one. Not so much about murder as it is about love in an insane asylum.
Another movie you might like is Princess Aurora. It's about a female serial killer who is seeking revenge. trailer without subtitles = http://www.youtube.com/watch?v=TYA-TWYhDC8