And at the end of the movie, he killed Mr. Orange when he found out he was a cop.
Memento
25th Hour
Jean-Pierre Melville’s The Red Circle (Le Cercle Rouge) and others. As cool, amoral, philosophical crime thrillers go, Melville pretty much invented the genre.
Lock, Stock, and Two Smoking Barrels. Damn fine comedy, too.
I disagree. I thought the three leads were a well-balanced set, with Col. Behrani being mostly reasonable and sympathetic throughout, and Kathy not quite as reasonable, but certainly somewhat sympathetic. Even Lester has understandable motives (he has the hots for Kathy), he just goes about things exactly the wrong way.
But even if you consider Col. Bahrani and Kathy to be bad, rather than a bit misguided, you do have two unambiguously good guys, Esmail and Lt. Alvarez.
I nominate Goodfellas. By the end of the movie, there isn’t a single likable, or even sympathetic character left in the story.
“Starship Troopers”.
Never mind that they used the title of a fairly good book to make a fairly bad movie. Never mind that Heinlein’s story was only remotely like this at all. The movie was, quite simply, antiwar propaganda disguised as a science-fiction war flick. Only towards the end did I start to figure out that the “bugs” were probably the most sympathetically-portrayed characters in the movie. Still, they weren’t any nicer than the humans.
When I go see a movie, I like the director to be honest with me about his intent. I don’t mind being preached to, but we all know what it’s like to have the bait-and-switch method of proselytizing used upon us. Bad characters, bad movie. No good guys, not even the director. 
What a waste.
–SSgtBaloo
WTF? The recruit saves a girl being raped, refuses to kill the drug dealer is only kept quiet through a mix of intimidation and some slick talking refuses his cut of the money then goes after the guy who set him up. Doesn’t kill him to boot just gets evidence.
Shadow of the Vampire there’s not really any good guy here. The director is even worse then the vamp in my opinion and even when the rest of the crew finds out about things they drug a girl so she can be molested and fed off of all night. The girl herself was a spoiled little snot.
American Beauty well the gay neighbors are close to being good guys but they have about 5 whole mins in the film. Everyone else is screwed up, violent, or lusting after under age girls.
“The Way of The Gun” it was a battle between evil and a slightly lesser evil…strike that, it was Evil against Evil, but a good movie.
The Wild Bunch.
Get Carter.
Ocean’s Eleven?
Three Musketeers, the book?
Mean Guns (1997)
100 assasins locked in a warehouse playing king of the hill. All blemeshed.
Escape from New York
I don’t think there are any true “good guys” in any of the four Tarantino movies. Maybe BB (the little girl) in Kill Bill, but even she was a little… off.
Confidence
Boondock Sanits (even the cops end up helping murdering vigalantes)
From Dusk til Dawn (even the priest eventually turns into a vampire)
Femme Fatale
SNATCH
Everyone’s a criminal one way or another.
McCabe and Mrs. Miller
The Culpepper Cattle Company
The Professional/Leon
The Professional: Golgo-13
The Godfather
The Dirty Dozen
The Grifters
The Getaway
A Kiss Before Dying
The Killing
You can’t get any more “no good guys” then “Pink Flamingos,” although I’m not sure I’d recommend it to a random stranger (even one on the internet) 
Alfred Hitchcock’s Frenzy (so I’ve been told) was pretty revolutionary in just this regard. The main character is placed in the role of the hero, but is portrayed in a highly unsympathetic way. As I understand, there were quite a few folks upset by this at the time the film was released.
“Bad Lieutenant” There may have been a redeeming character in the film, but it was so godawful that I truly can’t remember.