Forgive me, I'm going to bump this thread because I seem to have a masochistic love for movies that make me feel bad, sad, or whatever, so, I'd love to hear more recommendations
As for me:
Irréversible
American Beauty
American History X
Requiem for a Dream
Life is Beautiful
Se7en
1984
Bully
The Shawshank Redemption
Good Will Hunting
My Life (this movie is WAY underrated)
Philadelphia
8mm
Edit: forgot about One Flew Over the Cuckoo's Nest