Answer:
This is a bit of a tricky question. To date, authorities all over the world have yet to find even one real snuff film. There are a lot of movies out there that claim to be snuff films, but when they are investigated by police, they always turn out to be fakes. Very good, very convincing fakes, but fakes, nonetheless. And of course, murderers sometimes videotape their crimes, but these videotapes are technically not snuff films, since they were created for the killer's own amusement, not for sale to the highest bidder.
All the reliable evidence suggests that snuff films are just an urban legend. Still, the rumors never subside. Is it possible that snuff films have occasionally been made and sold, but just haven't been discovered yet? Maybe. It's a very big world out there, and the police can't search all of it. But it's safe to say there is no roaring underground trade in such movies. If there was any significant, large-scale market for these movies, police would surely have found some traces of evidence by now.
I have included a link to the Wikipedia page regarding snuff films.