The Straight Dope: Is There Such a Thing as a Snuff Film?
Cecil Adams says in the 30 years stories of snuff films have been circulation, no genuine example has ever come to light.
http://www.straightdope.com/classics/a5_258.html

Planet Papers: Snuff Films
Essay about snuff films.
http://www.planetpapers.com/Assets/2136.php

Urban Legends Reference Pages: A Pinch of Snuff
Origins of the urban legend.
http://www.snopes2.com/horrors/madmen/snuff.htm

AFU Archive: Faces of Death Review
Time-indexed analysis of purported deaths in "Faces of Death", pointing out obvious fakes. Only three sequences in the 100 minute feature are considered to be probably genuine.
http://www.tafkac.org/movies/faces_of_death_review.html