Cube is great, lots of clever stuff in there about the human psyche like
Quotethe theories to why they are there
. Though the sequel was kind of lame, if you liked it for reasons other than the death rooms you might like π.
Most depressing and bleak film I've seen is probably Grave of the Fireflies. It gets extra points for looking so nice and innocent, and for being based on a book, based on reality, written as an 'apology.'
Manly tears.