I'd go with Possessor by Brandon Cronenberg. I've only seen it once so far, and the unfolding of the story was such that you had to work for it. It wasn't impenetrably dense, but I definitely had to give it the attention it demanded.
I want to put in my ticket for What Dreams May Come, one of Robin Williams more heartfelt and serious roles, and one rarely mentioned. You can "get" the movie on the first watch and only really begin to understand all the nuance and subtlety during the second or third run.
American Psycho for me. I had a lot of questions after watching it for the first time. It doesn't have what I'd call a "satisfying" conclusion, but that's what makes the movie what it is. It's kind of a mindfuck, and the subtle humour in it is just top notch.
Primer because you don't know what's happening at the start, and then you start to piece it together, but you really have to watch it a few times because the details you pick up provide context for what's happening allowing you to piece more of the puzzle together.
BladeRunner: 2049 gets better and better with every viewing. Even more so if you've read Pale Fire, which is referenced a few times in the movie. A masterpiece in every way.
I want to watch it just because even without knowing a single thing about it I absolutely love this parody video and would like to get a more sophisticated appreciation for the comedy there.
Enemy (2013). lots of people's least favorite Villeneuve movie, but I really liked it. no shot you'll have any idea what happened after just one watch.
When you first watch Primer you have no idea what's going on. You need to watch it at least three more time for you to still have no idea what's going on