Life of Pi and Pan's Labyrinth definitely get thumbs up from me.
I was gonna suggest them but people already have! *thinks hard* I also really liked The Secret Life of Walter Mitty, Amélie, MILK, and The Mist. Go watch "They Shoot Horses, Don't They?" if you want to be depressed. xD
"Song dogs barking at the break of dawn, lightning pushes the edges of a thunder storm. And these streets, quiet as a sleeping army, send their battered dreams to heaven."