Gotta say that the film Lone Star would fit in pretty well with the OP’s list.
Oh yeah. Lone Star is one of the few films I saw in a theater, on a trip to Seattle several years ago. Great movie.
Darn 
I think the movie is Little Children, a great film.
I would also suggest The Hours, The Lives of Others, and Me Without You.
When I was in the theater watching The three Burials of Melquides Estrada, and they have that weird sex on the counter scene, I leaned over to my buddy and said 'that’s the creepiest sex scene I’ve seen since Bad Lieutenant.
I’s like to add The Virgin Suicides to the list
Happiness and Welcome to the Dollhouse by Todd Solondz. Happiness in particular is pretty soul-crushing.
Body Heat with Kathleen Turner and William Hurt. When we were leaving the theater, I said to my date, “Wow! That’s the first color film noir I’ve seen.”
Not Chinatown?
Picnic at Hanging Rock.
Dont Look Now.
The Whicker Man (The original with Edward Woodwoodwoodwooodwardwood not the remake)
The Dark Knight, perhaps surprisingly. There are some children in peril but: they don’t get hurt.
Dancer in the Dark- apparently the director either hates women and mothers or just hates Bjork. Or maybe wants just wants to inspire his audience to suicide. I think the same guy directed Breaking the Waves- another dark, dreary and depressing movie.
I just watched Clay Pigeons again last night, a nice little overlooked gem with Vince Vaughn nailing the role of a creepy serial killer
Isn’t it good? I’ve watched it twice. Vaughn was indeed excellent.
I just watched Amores Perros a few months ago. It’s in Spanish, but very, very good.
Donnie Darko is awesome. 
My name ain’t cowboy!
Oh! Glad to see that mentioned here. Another very good small movie about a serial killer with “really? seriously” casting: The Minus Man with Owen Wilson. He seems so laid back and amiable, that it’s a jolt to think of him as a serial killer. That’s why it works so well. Too bad it’s the only movie that Hampton Fancher has written and directed. After I saw it I thought ‘I really want to follow this guy’s career!’