At least Repo Man, They Live and Waking Life have already been listed...I'd also recommend...
Rosencrantz and Guildernstern Are Dead (Stoppard wrote the screenplay and expands upon his original theatrical script - Oldman and Roth are perfect)
Naked Lunch (my favourite Cronenberg, but also check out Crash, Videodrome, Existenz etc.)
The Party (Peter Sellers at his best)
Buckaroo Banzai Across the 8th Dimension
Le Grande Bouffe
Cyrano De Bergerac (Depardieu version)
Meet The Feebles (who says LOTR is his best work to date - also check our Braindead)
The Keep (Tangerine Dream soundtrack and Jurgen Prochnow - Miracle Mile is also another 'better than expected' film with a great TD soundtrack)
Hedwig and The Angry Inch (my favourite musical of recent years)
Dark Star (Carpenter launches his career - already mentioned They Live and his remake of The Thing is another classic))
Brazil (Gilliam is an unlucky and underated director - Time Bandits and 12 Monkeys have already been listed previously - his recent Fear & Loathing is also worth a look - maybe checkout the docudrama Lost in La Mancha too)
What Dreams May Come (schmaltzy but visually amazing - watch this next time you're coming down)
Hamlet (only Branaghs version is worth your time - why has this not been released on DVD? - even if you learnt to hate the Bard at school, check out Branagh's Much Ado and Henry V as well)
Flash Gordon (the 80's remake with the Queen soundtrack)
The Machinist (Bale makes the film - you can't take your eyes off of his skeletal frame)