The con has been played out in film many many times, and as a result, is rarely original. But there are a few that catch you off guard and actually make you think. As I posted in the Foreign forum, "Nine Queens", now remade as "Criminal", is a fresh take on the con game.
What are your favorite "Con" movies? Some others of mine are:

House of Games
Heist
The Spanish Prisoner
The Usual Suspects
The Sting

I have some honorable mentions and other favorites but I'll let some others chime in with some thoughts.

It all depends on what you call "the con". I would definitely include such films as "Sleuth" with Laurence Olivier and Michael Caine (super film), "Witness For the Prosecution" with Charles Laughton, Tyrone Power and Marlene Dietrich, and to a lesser extent, "Deathtrap" with Caine and Christopher Reeve, as "con" movies, although perhaps not as obviously as some others mentioned since they're considered mysteries first.

Quite possibly the best "con" experience I have had witha story is the audio book of "Matchstick Men" read aloud by Eric Garcia. It completely tricked me, my mom, and my dad which normally does not happen. The acting from m. Garcia was top-notch and the book was well paced and fun to listen to. Unfortunately, the movie is crap. Though the new ending adds a nice epilogue, the overall film feels rushed and poorly developed. If you havent seen "Matchstick Men" DONT rent the audio tape and listen to that in the car ITS WORTH IT!!