Perfect Blue, probably the only anime I've ever watched that at times made me forget I was watching animation.

Other great films are Blood: The Last Vampire, Akira and Ghost In The Shell...Spriggan, Ninja Scroll and Princess Mononoke are pretty cool as well...

I doubt that these names will be new to anyone, but they're definitely the best anime films I've seen...I'm sure there are others but I can't think of any right now...