Off the top of my head, and trying to avoid films I've eulogised before on other threads, I'll go for:
Lost Highway
To explain in detail what this film's about would be to ruin half the fun of watching it, but essentially it's about a man who's insecure in his relationship with his wife to the point of insanity. There's a lot of crazy shit that goes on, and some scenes I can guarantee you'll never forget. Oh, and a soundtrack featuring David Bowie, Nine Inch Nails, Rammstein, Smashing Pumpkins etc. fits in perfectly with the mood of the film.
Pi
The first major film by Darren Aronofsky, shot in black-and-white for $60,000. It follows a mathematician who sees patterns all around him, and is working on finding a pattern in the stock market. He ends up being hunted by Hasidic Jews and a large Wall Street company for the information he has, and he then comes up with a rather gruesome solution. It's not a comfortable or cheerful film by any means, although still not the massive downer of his next film, Requiem for a Dream. But it's clever and engaging, and definitely worth a watch.
I appreciate they're not super obscure, but they were the first that came to mind.