You can see the precursors of this trend in some 1970s sci fi and horror - particularly Fonda's Idaho Transfer, Coma, even a particular Night Stalker episode. It's just been given a more overt Kafka-Piranesian makeover.
...Vale.
Rewatch: Mario Bava's The Three Faces of Fear, aka Black Sabbath. Somehow this is both close to a perfect horror movie, particularly taking each story in and of itself, but also highlights a problem with anthology films: there's a slight repetitiveness to the whole.