From 1993:
This is the weirdest urban legend of all: that there are underground movies in which people are literally murdered on camera for purposes of entertainment. The question is not whether there are people sick enough to traffic in such things (in a world containing Jeffrey Dahmer and Geraldo Rivera, there probably are), but whether they actually do. All we can say is that in the nearly 30 years stories of snuff movies have been circulating, no genuine example has ever come to light.
"The [snuff movie] rumor evidently originated in publicity circulated in 1970 by Alan Shakleton of Monarch Pictures, a low budget sado-porn movie distributor," Penn State folklorist Bill Ellis tells me. Shakleton "bought up a Latin-American Manson family ripoff titled Slaughter, had it subtitled, added a scene in which a woman was murdered (cut out of another film), then marketed the film under the title Snuff in New York City. Rumor has it that that he then incited women's groups to picket the film under the [erroneous] impression that the murder scene was an actual killing. Certainly the publicity Shakleton used implied that it was: `Made in South America Where Life Is Cheap.'"
Every few years since then snuff movies have been back in the news, either because some nut is accused of trying to make one (never successfully) or the tabloids report some sensational claim, e.g., that the main centers for the snuff movie industry are London, Amsterdam, and Bangkok. But pornography experts for the FBI and other law enforcement agencies say they have never seen a genuine snuff film.
[...]
Cheers,
Scott.