I was going to post a list, but most of them have been mentioned now and I don't disagree with any of the choices yet.
Still #1 for me is Hard Core Logo. Hugh Dillon was incredible in that, even though he was mostly playing himself. I remember watching that opening night at the Plaza (or the Globe theatre, can't remember now) and when the final scene goes down there was a deathly silence as the credits rolled (those who have seen it know what I'm talking about), and nobody moved until they finished. Both moving and intense, funny and serious, it's just such a masterful work about psyche, ambition, betrayal, friendship, love, and legacy. One of my all time favorite movies that doesn't get a lot of press, if any.