I had high hopes for Hellboy as I'm a fan of the comic and some of del Toro's older stuff. Plus, del Toro is a Lovecraft fan and ya gotta respect that. Anyways, I was a bit let down by the theatrical cut, thought it was pretty much a train wreck, especially near the end. I really should watch the director's cut, but I was under the impression it was a lot longer than the DVD release for it ended up being (I remember talks of 3 hours or so).
As for most underrated, I liked that someone mentioned Last Life in the Universe, but I don't really considered it underrated so much as underviewed. Doyle's cinematography was wonderful as always.