I have a ton to list, all which I really like or love. Get ready for big block of text:
Stone of Destiny: Brilliant concept, great characters and acting. Great, undiscovered heist film.
The Exterminator: (That's not a Terminator rip-off. Besides, was released in 1980.) Awesome vigilante film. Oh yeah, and it had a horrible sequel.
Equilibrium: Probably the most awesome sci-fi/action flick since The Matrix. Sure, it has it's plot holes and such, but still; it's one my favourite films ever, and very entertaining.
Moon: Incredibly well-made sci-fi psychological drama with a 2001-esque plot and great twists. Very underrated.
The Room: "You are tearing me apart, Lisa!"
Event Horizon: Pretty creepy sci-fi/horror film with some really neat special effects. Seems to have been a huge source of inspiration for Dead Space.
Franklyn: It's... strange. Just a very strange drama/mystery/fantasy-ish film. The plot is deep and a bit difficult to follow, and it can be very slow at times, but it's an incredibly fascinating piece of cinema.
Runaway Beer: A finnish short film that has won several awards. It was quite funny, and a great sort of feel-good flick. And hey, it even has Alan Wake in it!
I think the movie was only available online, but unfortunately the website has been taken down and I don't know any other place to watch the movie.
MirrorMask: A great, artistic fantasy film with a highly surreal world. The setpieces are great, as well as the general visuals. A lot of people hate it for some reason. But I love it, so yeah.
Jacob's Ladder: Quite possibly my favourite movie of all time. A deep, frightening psychological horror film that immediately pulls the viewer in. Also, it inspired the Silent Hill series.
Re-Cycle (Gwai Wik): Some bizarre asian horror film. It's been a while since I've watched it, but I do remember really liking it. The plot was kind of strange, and it had some very creative stuff surrounding symbolism, though some of them were quite disturbing as well. Imagine if Alice in Wonderland was mixed in with a Stephen King story, and then you'd pretty much get this.
R-Point: Another asian horror film, this one with some war elements in it. It has some very interesting moments, as well as some scary ones, and it tries to mix in the real tension of and psychology of soldiers from war, and manages to play it off very well. Also, quite gory.
Half Light: A nice little thriller with some good characters in it. It was surprisingly good and underrated in my opinion.
The Snow Walker: An adventure/drama from 2003. It was a very long time since I watched it, so I don't remember that much of it, but I do remember liking it a lot.
Arachnophobia: A highly underrated horror film with some good humour to it. Not that obscure, but still overlooked. Though not that scary, except if you're afraid of spiders, it was really cool.
Zatoichi: I don't know if it should be considered obscure or not, but it was an awesome samurai film.
Naboer (Next Door): A very interesting norwegian psycho-thriller. Great plot, great acting, stuff.
Silent Night, Deadly Night: Well, the 2nd one is well known for all the wrong reasons. The first one is still good; A good, campy flick with some surprisingly good plot elements to it.
My Name is Bruce: Sure, it wasn't Evil Dead 4, but it was still good fun!
Romasanta: The Werewolf Hunt: Very obscure werewolf film with some great gothic material to it.