Stay
Dogville < this one completely blows, its a drama, you have to watch it, it was made it look like a theatre, but its completely worth watching. One of my favourites.
Mullholand Drive
Seven
The others
Vanilla Sky
Maquinista, El
Primal Fear
Lost Highway
I mentioned Primer < 100% you wont get it after you watched it for the third time.
Memento
American Beauty
Twelve Monkeys
Mystic River
Sixth Sense, The
K-PAX
Departed, The
Prestige, The
Man from Earth, The < genious sci-fci.
Usual Suspects, The
Beautiful Mind, A
Enjoy. These all are must see movies.