Batoru rowaiaru (aka. "Battle Royale", 2000)
If depth is what you're looking for you won't find it here, but to me this was a fascinating "eye-opener" in its brutality and interesting concept. The film is quite violent and morbid pretty much throughout, but to me the first time I saw it it was like one of those books you just can't put down, and it's actually become one of my favorite movies.
Funny Games (1997)
... i.e. the German-language original, not the 2004 Hollywood "remake". A terrific, chilling thriller with some very interesting (and surprisingly non-annoying) play with the 'fourth wall'. Good casting, too.
Hævnen (aka. "In a Better World", 2010)
For once an Academy Award went to the right film. Mikael Persbrandt is in particularly fine form here (as he usually is), the exceptionally(!!) good child actors William Jøhnk Nielsen and Markus Rygaard are simply brilliant in their respective roles, and it's just a gripping, well-executed and honest film overall. I do not regret having put 10€ into seeing this in theaters. (Shame about the sh!tty English title, though. Literally translated "Hævnen" means "Vengeance" or "Retribution" - which is the whole point of the film - and either would've been far more appropriate titles for the film than the one it has now. It just makes you wonder whether Susanne Bier had any input in the translation at all.)
Der Untergang (aka. "Downfall", 2004)
Probably the best film and portrayal of Hitler ever made; Bruno Ganz's performance could very well be the best I've seen. Gripping, tragic, horrifying, realistic. Not a light film to watch, though, therefore requiring some devotion from the viewer. In terms of atmosphere, think Munich but grimmer.
For a decent series of detective/police procedural films I might also mention the Swedish Beck (TV) films (with Peter Haber and the aforementioned Persbrandt). They're nothing remarkable, but still a fine way to spend an evening from time to time.