Let me throw in 2 Hong Kong films:
Full Contact
http://www.imdb.com/title/tt0105851/
Very involved plot and very memorable characters. Deals with betrayal and revenge and friendship.
Infernal Affairs
http://www.imdb.com/title/tt0338564/
very little action, but very very griping. Basically it's the story of two moles. One from organized crime, who infiltrates the police, while one from the police infiltrates organized crime.
(update: This is apparently being remade in the US by Martin Scorcese, starring Matt Damon and Leonardo DiCaprio.
Matt Damon? Eeeeew. I wouldn't mind a remake, but with those 2 actors?).
And also a low budget Japanese movie, "Score". This is Quentin Tarrentino-esque (much in the way he borrowed from HK movies), but is also pretty griping. About a jewel heist, and internal fracturing of the people who pulled it off, along with a rather psychotic couple of outsiders.
http://www.imdb.com/title/tt0114364/
(Hard to find on DVD. Blockbuster online has it, but I had trouble getting it from them because they kept sending me "The Score" instead. But eventually they sent me the right movie)
Also, the original "Shaft".