Pi, Dark City and Cube as others have mentioned. A few just flicking through my DVD collection:
Society is great if a little weird.
37°2 le matin (Betty Blue )The Adventures of Baron Munchausen - Terry Gilliam wonderment
American Psycho - One of Christian Bales best
Clue - Comedy film based on Cluedo
Contact - Jodie Foster discovers aliens
Ed Wood - Tim Burtons look at the life of the worst director of all time (made Plan 9 From Outer Space)
Falling Down - Michael Douglas goes psycho
The Frighteners - Peter Jacksons last film before he hit the big time
The Hunger - David Bowie and Catherine Deneuve in the classiest vampire film ever made
Lost in Translation - Well known thanks to the academy award, but hardly anyone seems to have seen it
Metropolis - Fritz Langs 1927 masterpiece look to the future
Peters Friends - Every eighties luvvy (Stephen Fry, Ken Brannagh, Emma Thompson etc) in a beautifully poignent film
The Princess Bride - Comedy fantasy and one of the best films ever made
Twelve Monkeys - a more serious Gilliam film with time travel and general weirdness
Withnail and I - Richard E Grant as a self destructive, alcoholic actor