I personally would classify it more as a thriller than a horror film. It's more like The Machinist and less like The Strangers. Any type of "scary" or "horror" aspect is because of the main character's descent into madness and obsession. Not because of being hunted, or murderous rage, or anything like that.
Aronofsky said it is the companion piece to his THE WRESTER and it definitely is. Same overtones, same basic theme, same film style, same character type. So if you saw that and liked it, check out this. Hell, this should be checked out no matter.
If only for the fact that Mila Kunis and Natalie Portman dyke out.