Disclaimer: I tried to avoid anything too obscure, since it tends to be the case that the more obscure you get, the more a movie has to coincide with your tastes and I don't really know your tastes.
If you like documentaries (or really even if you don't), check out Helvetica and, especially, Objectified. The first is an entire movie about a single font (in the context of graphic design) and the second is about industrial design. Both are mind-blowingly great movies. They're from the same guy.
Lord of War was great (probably the best film Cage has ever made) and almost no one has seen it. A very darkly humourous beginning and a tragic, dramatic second half. It even manages to have an explicit, after-school-special style moral at the end without feeling forced.
Zardoz is a gem of a weird movie (it's basically summer blockbuster+hippie art film+Sean Connery with a ponytail and ridiculous mustache wearing nothing but a big red diaper...thing and awkward bandoliers) that most younger people don't even know exists. It's probably the only movie I know of that is somehow simultaneously legitimately good AND so-bad-it's-good.
Don Juan deMarco is one of my favourite movies with Johnny Depp, Faye Dunaway, and Marlon Brando. You cannot possibly feel bad after watching it. It's sort of a romantic comedy (in a relatively unconventional sense), but it remains great. Perhaps the greatest date movie ever created and a good movie for any time you feel like watching something light-hearted.
Obligatory Geek Choices That You Probably Already Know About:
Starship Troopers is clasically underrated, mostly because some critics SOMEHOW didn't get that it was a satire. Note that a lot of people think that calling it a satire is just an excuse, but, once they've actually seen it, it's BLINDINGLY obvious. Likely, critics went in expecting it to be a stupid, brainless action movie and it prevented them from actually understanding it at all. Additional note: NOT FOR THE FAINT OF HEART. That is one of the only movies I've ever seen that actually made me sick to my stomach.
Serenity.
Everything by Quentin Tarantino ever. A lot of his earlier stuff is less-well-known and all of it is worthwhile. Resevoir Dogs should be required viewing.
Both Boondock Saints movies are clasically underrated. They may not have intricate plots or particularly developed characters, but they ooze cool.