Most of the obvious choices covered here, so I'll sweep in with some (as yet unmentioned) Canadian films:
Last Night: http://www.imdb.com/title/tt0156729/
Small, deeply personal story about the impending end of the world by some unknown and undisclosed catastrophe. Starts out darkly comic, but by the end has become almost unbearably bittersweet and wrenching.
The Sweet Hereafter: http://www.imdb.com/title/tt0120255/
A horrifying bus accident devastates a small community. The film sifts through the aftermath, as shattered families try to put their lives back together again.
Exotica: http://www.imdb.com/title/tt0109759/
Part mystery, part drama, part arthouse film. A broken man seeks solace at an erotic nightclub, and the cause of his grief and the connections between the characters are slowly revealed.
Also, not Canadian, but..
The War Zone: http://www.imdb.com/title/tt0141974/
Good movie if you want to feel like complete shit afterwards. WTF, Tim Roth. Seriously guy.