Just about any Akira Kurosawa flick will be great for your DVD library. Same thing with Stanley Kubrick and Ang Lee.

Here are some of my suggestions:

Donnie Darko
The French Connection
Dark City
Plein Soleil (Purple Noon is the American name for it)
Blow
The Three Colors Trilogy
Taxi Driver
Requiem for a Dream
Hard Boiled
The Killer
Scarface
The Untouchables
Ben Hur
The Ten Commandments
Rocky (do not bother with any of the sequels)

That is all I can think of right now...