Usual Suspects, definitely. As retsuki03 says, the ending had me thinking for about an hour after I had finished the movie. It was superbly put together.
Matchstick Men, of course, has the same type of ending. The relatively tame plot really opened up with the ending and gave a whole lot more depth to the characters.
Pi, yes! One of my favourite movies of all time.
Disappointed to see that only one person has thought of Cube
It's pretty ridiculous, but if you don't like gore, I don't recommend it.
Lastly, I once watched The 25th Hour while I was really tired and it tripped me out, I don't know why, hahaha.