Psychological thrillers are one of my favourite movie genres, they're usually well written and sometimes even attempts to trick the audience with false leads. It might cause the audience to strain a few brain cells but that's a good thing isn't it? This is also why these movies are often fun to talk about with your friends, people tend to look at different things in these movies, so it's interesting to see how some people might have gotten very different image of the film than you.
Here's a few very interesting movies:
Beautiful Mind (2001), The Machinist (2004), Old Boy (2003), Memento (2000)
I've been looking for another movie similar to the ones above, any recommendations?