Some of the best ones has already being listed here, but ok:
El día de la bestia - Black comedy about a priest and a metalhead trying to stop the antichrist. Hilarious and gory stuff.
[REC]- Great horror movie, think Cloverfield or the blair witch project but done right.
El Orfanato - Even better horror movie, albeit with a more classic premise.
El caballero del dragón - One of the extremely rare scifi Spanish movies since people here loathe the genre
. The premise is cool: a spaceship appears in the middle ages, is mistook by a dragon...
Intacto - Underrated film with supernatural elements about a guy that steals the luck of others.
El crack - A very unkown, underrated Spanish film noire. The adventures of an ugly and short, yet extremely baddass private detective.
Perros callejeros - An extremely grim potrait of the low class violence in Spain.
Tesis - Remember "murder in 35mm"? well, this is the film that inspired it and naturally, way superior.
Tapas - If you want to have a look into the modern Spanish society and "barrios", this is your film. Not only is good costumbrist movie, but also quite charming and funny.
El albergue español / l'aubergue espagnole (albeit a French movie, half of it is spoke on Spanish). The adventures and misadventures of a French Erasmus student on Barcelona.
Airbag - Frantic and politically incorrect action comedy about a couple of wealthy friends getting into serious trouble with the mafia.
¿Quién puede matar a un niño?- Awesome, awesome terror movie, think "the children of corn" but with less supernatural elements.
La cabina - One of the best short movies ("cortos") that our cinema has ever made - very unsettling too. Must watch.
The Spirit of the Beehive - Very good film, but quiet harsh and arid as well (pretty intellectual movie).
Also, any movie made by Buñuel and most movies of Almodovar.
