Some comments:
Run Lola Run: This German indy is really an existentialist action film. It's a chick flick for dudes! Deals with Chaos Theory, Nietzsche, soccer theory, and more. Very fun, but probably best known for the techno sound track that will seriously thump your sub-woofer.
American Movie: Probably the best two hours I've ever spent with stoners. Never could decide if I was laughing at them or with them.
Barton Fink: Most hated Coen Bros. movie, probably because it's one long metaphor for pre-WWII Europe. If you know the metaphor going in, it's pretty freakin' powerful. The acting performances are gripping.
The Machinist: Pretty disturbing when you realize Christian Bale starved himself for the role. Almost felt Bale should've been committed by the end of the movie for what he did to himself. Very interesting movie.
Surprised no one mentioned The Following. Also, if you're looking for disturbing, it doesn't get more disturbing -- in a very real, non-gory way -- than Happiness.