Ok, I figured I was fairly up on recent films but recently Ive stumbled across two excellent films Id not heard of before. These were:
Boondock Saints (1999)
http://www.imdb.com/title/tt0144117/Two Irish brothers accidentally killed mafia thugs, turn themselves in and are released as heroes. They then see it as a calling by God and started killing the evildoers of the world. Willem Dafoe plays an eccentric detective trying to figure out the killings, but as he works on the case he is forced to ask if killing the worst members of society is really a bad thing.
Constantine (2005)
http://www.imdb.com/title/tt0360486/Constantine is an exorcist who has been to Hell and back, and whose soul is sentenced to hell. He has been deporting demons to get on good terms with God, yet God wants self-sacrifice. After the mysterious suicide of her twin sister, detective Angela Dodson goes out in search of the truth. Together, Constantine and Angela battle the demons on Earth.
Im basically looking for some other recommendations for obscure yet excellent films. If you havent seen the above (especially Boondock Saints) then go watch them. You could search for "boondock saints installment" on youtube and you might just find a low res version
Im not looking for films like se7en, american psycho, etc which are well known underground movies but instead stuff youre more than likely to have missed. Boondock for example was only released in 5 cinemas in the US and not shown globally as its release coincided with the Columbine shootings. Blockbuster then took it straight to video where its become a cult favourite.