Some of these may have already been mentioned, but here are some I watched recently and really liked:
The Illusionist- not the current animated one, but the one with Edward Norton made in 2006. Very good story with a surprising ending.
Devil- M. Night Shyamalan has made some stinkers lately, but this is his best since Signs, imo. Very suspenseful tale of 5 people stuck in an elevator, and one of them is Satan.
Law Abiding Citizen- great "getting revenge on corrupted government" flick. I have always liked movies and/or characters that are clever, and this one is/has both.
Dangerous Liasons- made in 1988, this is an 18th century French period- piece. Good story with great acting from a wonderful ensemble cast, with: Glen Close, John Malkovich, Michelle Pieffer, and Ulma Thuman.
Zulu- based on a true historical battle between the overmatched Brits and an overwelming Zulu tribe, set in the late 19th century. Michael Caine's first starring role.
The Orphanage- this 2007 Spanish-Mexican film won 7 Goya awards. Good mystery with just enough creepiness to make its mark.