Ah, this is possibly the most attractive movie list I have ever seen (stuff i really fucking like is getting big mentions)
Big thumbs up to:
Happiness - Best thing to do with this? Watch it 3 or 4 times so you know exactly what's up. Then watch it with some friends who haven't seen it, hopefully squeemish too and just laugh your ass off on their reaction, it is a whole new film! :D
If you like that I really highly recommend you try to check out 'Festen'! It is not disgusting in quite the same way, but very, very black very good humour, and it really has qualities that Happiness does not have. Danish mind you

I liked Requiem for a dream, Fight Club, Jacobs ladder, 12 monkeys, the idiots quite a lot (that have been mentioned already)
I've been intending to watch Eraserhead for a while, getting Cannibal Holocaust too