A semi-recent movie that impressed me a bit was Frailty. Not super scary, or even super deep, but well done without compromise and definately worth a watch.
A few other movies that I liked that weren't very popular:
Kalifornia
A Simple Plan
Happiness
Ghost World
Bound
Exotica
The Ice Storm
The Sweet Hereafter
Grave of the Fireflies and Children of Heaven are both worthy as well.
