Tombstone
I would say Apocolypse Now, but I was too young at the time for it to really count.
The Boondock Saints. It was supposedly not run for very long or advertised very well due to the timing/association with the columbine school shootings (not sure if thats true). But I never heard of it till I got it as a christmas gift.
Manhunter. I caught it on TV late at night, patrtway through, and was hooked.
It was brilliantly done, and seemed to have come out of nowhere. This was before William Petersen did CSI (which I’m convinced he came up with in order the play the same kind of role he did in Manhunter), before Anthony Hopkins ever played Hannibal Lector. It was compellingly told and beautifully written (especially Lektor’s(sic!) scenes) and acted. I didn’t even mind the lapses in storytelling or logic. And I’ll take this version over any of the Hopkins films, especially that pointless remake.
The Matrix and The Hidden fit into this thread’s category, too, but in those cases I was expecting something good. This one I didn’t see coming.
Same here.
I’m another one that never saw The Matrix in theaters. Not sure how I missed it, but I must have been aware of it at least.
A great movie that I don’t remember hearing about at all is Children of Men. I caught it on HBO a year or two after it came out (based on a recommendation that quite possibly came from this board) and loved it.
Undoubtedly Kiss Kiss Bang Bang. Talk about your movies no one saw in first run! (And this is coming from someone who did see Shawshank in the theater.)
“Slither” I don’t remember this being in the theatres (and if I did, I would have probably written it off as a cheap slasher movie). Now it’s one of my favorites (“the bitch is hardcore !”).
“Spartan” Never even remember hearing about this in the theatres. Caught it about 1/3 of the way through on Cinemax, and now have to watch it just about every time it’s on.
“In Bruges” Meant to catch it in the theatres, but never got around to it. Friends recommended it, and I finally caught it on Cinemax. Will be adding to my collection.
This.
Freeway was terrific! A friend and I were channel surfing and caught it part way through - scared the bejesus out of us! No really, our collective bejesus got up and ran away. That scene where she makes the shiv has always stuck with me.
I was in high school when the Matrix and SuperTroopers came out. Kids nattered on incessantly about both films, so much so that I didn’t want to watch either one. Caught them much later, own both on DVD, ate large helping of crow.
Update Video has a 5 movies for 5 days for 5 bucks deal, that was the only reason I rented Suicide Kings, and it’s the bets movie I’ve ever rented having know nothing about it beforehand.
Word. As it happens, I caught both of these in the theaters during their first runs (I still remember seeing The Hidden in a nearly-abandoned theater on a freezing New Hampshire night 20 years ago), and love 'em both.
My wife and I just caught, on Netflix, Ghost Town with Ricky Gervais, Greg Kinnear and Tea Leoni, a wonderful little supernatural comedy/romance/drama that came and went pretty fast last year. Highly recommended.
I saw Super Troopers on DVD last year on the recommendation of several Dopers, and really, really liked it.
I watched and loved It’s a Wonderful Life and Casablanca long after their initial theater runs. 
Shaun of the Dead. I was aware of it during its theatrical release, but couldn’t quite work up the motivation to see it. I’ve since seen it maybe 20 times on DVD/cable.
Another movie that falls into that category for me is The Big Lebowski.
As for movies of which I wasn’t aware when they were in theaters, but saw later and loved, both Brick and the aforementioned Kiss, Kiss, Bang, Bang fall into that category. I’m a big Hammett/Chandler film noir fan, so I don’t know how I missed those two, but they’re excellent.
Same here except I saw it through Netflix and have already added it. I went on a hunt for the DVD about two days after I first saw it.
Donnie Darko. Honorable mention for Southland Tales, the second film by the same filmmaker
And a few others I found here:
http://www.channel4.com/film/reviews/feature.jsp?id=161521&page=5
Probably another link I found on the SDMB…
Doesn’t quite fit the OP, since I had at least heard of it, but after seeing a commercial or two for Twelve Monkeys, I was convinced that it was an idiotic attempt at a bad science fiction movie. Many years later, I was visiting a friend and he had it on, and it would have been impolite not to watch it with him, so I did. And very glad I am of that, too-- It’s by far the best time-travel movie I’ve ever seen.
As far as older movies…Trainspotting. I doubt even played at any theaters in Vegas, and if it had, I wouldn’t have gone. But luckily, I worked at a video store and was bored enough to take it home one night. My favorite movie of all time.
More recently, we both really enjoyed The Prestige and have watched it about ten times this year and parts of it whenever it’s on (which is alot)
Millions I had never heard of this movie until I saw excerpts of it during a church sermon a few years ago. I rented the DVD and really liked the movie.
There was a time when I rarely went to the theater, so there are so many.
But probably the first to come to mind is The Princess Bride.
I love this movie.
Goldfish Memory - though I’m not sure if it ever was in theaters in the US (it’s an Irish film), but my husband & I watched it on a whim on Netflix watch-it-now one day, and we both loved it so much we eventually bought it. It’s got a fantastic soundtrack too (which actually came with the DVD!).
I probably found most of my favorite movies this way. I ‘discovered’ The Big Lebowski because my college friends were watching it in the theater in our dorm. I started watching the Marx Brothers because they were on PBS and my mother kept telling us to watch them and/or taped one or two of the movies.