Buckaroo Banzai (has a cult following but most folks haven't heard of it)
Psychological thrillers:
One Hour Photo (incredibly disturbing performance by Robin Williams, that somehow never seemed to catch on)
Perfect Blue (anime psychological thriller)
Take Shelter
Enemy
Hard Candy
A few horror movies:
A Dark Song (gets ritual magick more right than anything I've seen... also really disturbing)
Session 9
Possum
Let's Scare Jessica to Death
Don't Look Now
I have watched Buckaroo Banzai so many times but my strongest memory is from sitting on the floor re-covering kitchen chairs while watching.
One Hour Photo scared me half to death.