Memento and Fight Club are by far my favourite movies

(I like some others that you named but not so much). My favourite genre is the psychological thriller.
When I recommend movies I tend to be a little excessive with my lists, mostly because I've been watching about three movies a week for the last 4 years... and I'm indecisive. So here go my favourite favourites:
On the (psychological) thriller line I can recommend: Donnie Darko, Identity, The Conversation, Lost Highway (only if you are willing to rewatch it to understand the meaning of every single detail that doesn't make any sense at first), 12 Monkeys, 1408, A Clockwork Orange, A Beautiful Mind, Oldboy (Park's version), Headhunters, Law Abiding Citizen, The Shining, Rear Window, Psycho, The Birds (I'd also recommend The Game, but to me it has a big flaw at the end, and also Mindscape, which is not excellent but I like the idea of the movie and how the set is composed).
And from random genres: Mr. nobody, Amelie, The Illusionist, Amadeus, Inglorious Basterds (Christoph Waltz is a genius), Hugo, The Phantom of the Opera (if you're into musicals), The King's Speech, Good Bye Lenin!, Dead Poet's Society, Across the Universe (because I like The Beatles' covers), The Wave (a German movie), Coherence (it's kind of a low-budget movie, but it's interesting).
Those are the ones I could come up with... I have a document witht the list of movies I've seen, my comment and rating (completely addicted, I know.. I like the word "dedicated")