Most of the good ones have been mentioned, Requiem..., Irreversible, Eraserhead.
I can recommend
FEED: Ozzy mind f*ck of a film that plays on the quirk of a Feeder, someone who feeds a woman up to get her fat and leves her to die. The end is a belter.
switchblade Romance(nee.Haught Tension): French slasher flick that requires some suspension of disbelief by the end, but a great violent ride.
Suicide Circle (Club): Agroup of Japanese school girls form a line at the local underground and... This one goes off in all sorts of strange tangeants that make little sense. But it is a quirky film with it's own style. Google it...
August Underground: A vile, disgusting little movie. All filmed on an easily availiable camcorder and all the more effective for it. This is what can be achieved with some time and determination. Filth. Makes American Psycho look like American Pie.
Henry: Portrait of a Serial Killer:What the aforementioned film was probably inspired by. The direcotrs cut is pretty gruesome and the story of two emotionless killers as they
slaughter their way across America and no police procedure story to make you feel like there will be some kind of denoument makes it all the more unsettling.
Dead Man' Shoes: One of my all time fave films. This one leave you depressed in the same way Requiem...does. The story of one man's revenge against the gang the killed his brother. But far more complex that that sounds.,
H6: Spanish serial killer flick. Disturbing if only for the way the killer comres across as perfectly normal mixed with the soundtrack of women screaming in absolute fear...,
Dark City: One of the most underated SCI-Fi films ever made. I'll say nothing about this one except that if you like your story's a little more interesting, you should seek this one out.
Event Horizon: Awesome!
Ravenous: The story of an American outpost survivor who succumbs to some terrifying animal insticts. A great cast and some superb action make this another criminally ignored movie.
All these films can play with your mind and play with you expectations
"I got better Things To Do Tonight Than Die!"