Requiem For A Dream
Pi        (both excellent Aronofsky movies, he is a genious)
Basically all Lynch movies, especially Blue Velvet, Eraserhead, Mulholland Drive
I also have to mention Memento, Waking Life, Wicker Park, Donnie Darko, Being John Malkovich
these are all movies that really have left me thinking for days, sometimes weeks, in some cases years (lynch)