I'll try to only list movies that haven't been mentioned yet.

Among my all time favorites:
Frida
Like Water for Chocolate (not sure if it's out on DVD)
Milagro Beanfield War (only on VHS, sadly)

Other Very Good Flicks:
21 Grams
Adaptation (scene 13, I think, is an amazing surround sound demo)
Blade Runner
Chinatown
Donnie Darko
Eternal Sunshine of the Spotless Mind
House of Sand and Fog
Live Flesh
Lost in Translation
Mulholland Drive
O Brother Where Art Thou
Shakespeare in Love

Here's a great site for info on movies: http://www.allmovie.com/