Snuff Films are an easter egg in Grand Theft Auto Online.
A snuff film is a form of media entertainment; movies/films featuring an actor getting murdered, tortured, or both.
As of the new Bikers update, the player can buy foreclosed properties, one of them is mentioned to have been "The Heart and Soul of the Los Santos Snuff Industry". The description may sound pretty heavy, making the player feel like there's more to it, but there isn't. Sadly, this place doesn't have anything special, it simply is another clubhouse available to the player to purchase.
The article said that this is the "heart and soul" of the snuff industry in Los Santos, meaning that there should be more places where films like those are recorded, but other than this house, there aren't more references/mentions towards the snuff industry in the game.