Trust me on these
Waking Life (great soundtrack)
Requiem For A Dream (some find this disturbingly depressing, I love it)
MirrorMask (lovely soundtrack)
Dark City
Fight Club
Scanner Darkly
Decasia-drags on a bit, you might need more than pot/regs
Dune
Training Day
Trainspotting
New Jack City
Pulpy Fiction
The Labrynth/The Dark Crystal
Fear And Loathing In Las Vegas
Naked Lunch (not as "fun")
Natural Born Killers (very fun)
Vanilla Sky (warning, tom cruise)
Lost Highway, although slow and really unnerving, was soo...
City Of Lost Children
There is something about The Good The Bad The Ugly... it's a western, VERY INTENSE
And I can't speak for Baraka or 2001 or Apocalypse Now or Jacobs Ladder or a lot of other populars but I'd be willing to bet they're fantastic if you look around
(for a lighter comedic side, try
halfbaked, Who Framed Roger Rabbit, Tenacious D PoD, cheechchong, Bush giving a speech, and latenight television ads for lawnmowers)