AHunter3 and spooje… yay for Miracle Mile! It’s one of my all-time favorite movies. Had to fight like hell to buy it on VHS several years ago; I don’t think it’s available in any format now. I watch it every now and again.
Nobody’s mentioned Closet Land yet, I think. Perhaps Alan Rickman’s best performance ever. Great, somewhat disturbing film.
The trippy Cube. If you can get through the first 10 or 15 minutes of gross “traps” that get sprung on hapless victims, it’s a very suspenseful piece of work.
Someone did mention Strange Days, and I second that. Great performances by Ralph Fiennes and Angela Bassett (she kick SO much ass), and James Cameron’s best script other than The Abyss. Good thing he didn’t direct it, though, I figure he would have loused it up. 
Someone also mentioned Peter Jackson’s Dead-Alive (or Brain-Dead outside the States, I think), and I second that, too. Great gory fun.
And I’ll add Jackson’s Heavenly Creatures, which I can only describe as the strangest love story I’ve ever seen on film. Merits attention, also, the the lovely Kate Winslet’s first feature (hi, Guinastasia!).
Ken Branagh’s little-known A Winter’s Tale. A black-and-white film about a troupe of actors committed to an independent production of Hamlet on stage, and the various interactions that take place among them. Very cool.
And finally, what is probably my favorite film, Peter Weir’s Fearless. It get almost no attention, compared to Weir’s other films (Witness and The Truman Show, for example), but to me it is his masterwork. Great performances and a simple yet subtle story that packs an emotional wallop like a sledgehammer, with a storytelling structure Quentin Tarantino has wet dreams about. An awesome film.
That should do it… I’ll have to check out a few I’ve seen on this list. Good stuff. 