I watched a real great documentary about the idea of Snuff Films and trying to see if they really existed. It was part of a series called "The Dark Side of Porn".
In the documentary they essentially concluded that the idea of snuff films etc was created in part by fake snuff films like "Cannibal Holocaust" and that people came to generally believe that snuff films did exist, however no 'real' snuff films have been found nor has anyone succesfully been charged with creating a snuff film, even though the FBI once had a division specifically searching for snuff films. Films that people make of murders for their own self-gratification do not count because they are not doing it to create a 'profit', which is the key idea behind a 'snuff' film. The documentry also concluded that we don't need to make snuff films because modern special effects are able to create the effect of someone dying without the risk of getting charged with and committing murder.
On the other hand, you hear about Child Porn crack downs all the time. It is a real and dangerous industry.