The House That Jack Built
Von Trier's latest. While having some really disturbing scenes, it is more or less the epitome of Triers dark (danish) humor. Some might disagree, but I think it is one of his best. Brilliant movie, with some really spot on 'comments' about an albeit extreme but certain, and relevant, character type. It can be understood as a manic departure from his depression trilogy (Antichrist, Melancholia, Nymphomaniac), which other users have already recommended. If you haven't seen it yet, I cannot recommend it enough.
The Seventh Continent
This one is a bit slow and honestly not the best from Haneke, but the pace and tone actually builds up really well for what might be one the most bleak and excruciating endings ever.
Mulholland Drive
I'm sure most of you are already acquinted with this movie, but for the uninitiated, it deserves a mention. Deeply disturbing (although not explicitly) and haunting - I consider this to be Lynch at his best, and maybe one of the best movies ever made.