Difficult to choose but here are some favs:
Todo sobre mi madre (All about my mother) (1999) - Pedro Almodovar - probably the apex of his career. The train rides with
Ismael Lo's Tajabone murder me every time. Probably the film I've seen the most in my life, although it has been a while since I watched it.
Vozvrashcheniye (The return) (2003) - Andrey Zvyagintsev - I saw it in the theatre when it came out and the opening scenes of the deep Russian gray have carved themselves in my mind. Every few years I came back to it thinking I was exaggerating my reaction, but it remains equally powerful.
La notte di San Lorenzo (The night of San Lorenzo) (1982) - Taviani brothers - A masterpiece of Italian cinema, folk tales, small town people, WWII, some of my favorite themes, in a magical and highly emotional whole.
The Big Lebowski (1998) - Coen brothers - my favorite comedy of all time. Lends itself quite nicely to stoned watching, but holds together while sober. Complex, funny, iconic.
Cabaret (1972) - Bob Fosse - Amazingly, a musical with music I actually like. Again WWII, cabaret which is endlessly fascinating, and a queer bent.
Finding Nemo (2003) - Andrew Stanton - Funny, entertaining, emotional and has a nice message, I've seen it many a time.
Princess Mononoke (1997) - Hayao Miyazaki - Not sure if it was the first Miyazaki film I'd seen, but it's stuck with me as my favorite. Maybe the most serious and grown-up of his movies, with a clear environmentalist message, high action, spectacle and magic sprinkled throughout.
The Matrix (1999) - The Wachowskis - Favorite sci-fi movie for me, total game changer, and still holds up today.
Pulp Fiction (1994) - Quentin Tarantino - Can't have a millenial's best of list without this. Might be a little corny to mention it given its popularity, but it's popular for a good reason. I like all of his films and still look forward to new ones, even if they're not such "events" as they used to be and are diminishing in quality, but nothing will ever come close to the delightful surprise of this one. Totally iconic, endlessly replayable. Has made (or revived) the careers of everyone who was in it (where would Travolta be now if he hadn't been cast here?).
All or Nothing (2002) - Mike Leigh - Leigh is one of my favorite directors. Always socially conscious but never as bleak as Ken Loach, comic, tragic, heartwarming.