Memento also gets by vote; I like the indies that examine some of these ideas especially through production design and visual effects and editing.
Some others:
Eternal Sunshine of the Spotless Mind
Being John Malkovich
Anything by David Lynch (a genius)
Pi (Aronofsky)
Requiem For a Dream (also Aronofsky)
Jacob’s Ladder (dark)
12 Monkeys
Fear and Loathing in Las Vegas
Brazil
A Clockwork Orange
Fight Club
anything by David Fincher
I can go on and on but these are just off the top…