You sit down after and think about morality, and life, and the government, and God. You think 'WTF just happened?'. Sometimes, you watch the movie a second or third time just to make sure you got the point.
V for Vendetta
Book of Eli
The 6th Sense
What Dreams May Come
Ones I want to see:
Eternal Sunshine of the Spotless Mind
The Butterfly Effect
Ones coming out that sound like keepers:
The Host - based on Stephanie Meyers novel (I highly suggest you read it)
What about you?