My taste in movies is pretty vanilla, but a few faves:
Cube: Love how much of the movie is left unexplained, the way that its world exists in a total vacuum outside the immediate drama of the protagonists.
The Usual Suspects: Not because of the twist, really (so, it was him), but because the twist itself renders the entire preceding timeline moot.
Wishmaster: Okay, so this was just fun. I hated the ending, yet wracked my brain trying (and failing) to find a more satisfying alternative. There really was no other way...or was there?
eXistenZ: Afflicted with the misfortune of coming out near the same time as The Matrix, to which it continues to be unfairly compared. A classic Cronenbergian blend of sex, psychosis, and hardware.