Favourites, in as close to order of favouriteness as possible, are probably:
American Beauty / American Psycho - both of them are fuckin' amazing and are 'searing indictments' of the American consumerist dream. Nice.
Fear & Loathing in Las Vegas - Absolutely genius adaption of Hunter S. Thompson's classic book. Johnny Depp and Benicio Del Toro are gods in it.
Fight Club - Just a fuckin' brilliant film. Edward Norton you genius.
American History X - Edward Norton - again - you genius. This films confirms Norton's place as the best actor of his generation.
Memento - Brilliant film-making. Gotta' love some innovation.
Apocalypse Now - Very good stuff, a lot of tension in the film, and it's based on a good book (Conrad's Heart of Darkness).
American Pie 1 & 2 - Hey, if you don't like 'em, fair enough. But I loved them and thought they were so entertaining that it was almost idiotic. Not everyone's cup of tea, but DEFINITELY mine.
About A Boy - Saw it recently and it has to be up there, it really is a classic 'feel-good' movie and Hugh Grant is so good in it.
Requiem For A Dream - Amazing mindfuck of a film. Powerful. Loved it.
Mulholland Drive - Lynch's best and an absolute masterstroke of mindfuckery.
There are a lot of other films that I've just forgotten to put here. Se7en is good, as is The Shawshank Redemption, One Flew Over The Cuckoo's Nest (which is even as good as Kesey's book), Pulp Fiction, Lock Stock, Fargo, Traffic, A Beautiful Mind, This Is Spinal Tap and The Royal Tenenbaums. That's a lot of films right there.