Two of my other favorites are "Lost Highway" and "Mulholland Drive" by David Lynch. I don't normally tell people about these movies because Lynch's are so bizarre and often require multiple viewings to be able to appreciate the genius.
Lost Highway is a little more accessible, with a story that's a little more straightforward. Bill Pullman is in it, along with Patricia Arquette in arguably her sexiest role ever.
I hated Mulholland Drive the first time I watched it. Had no clue what the fuck was going on, then I stumbled across a website that analyzed all the little details of the movie and explained how everything tied together. Watched it a few more times and now I can appreciate the genius behind it.
Come to think of it, both these movies also deal with the disconnect between reality and altered reality. Characters not liking the reality they live in, so they create a new reality in which to inhabit.