American Movie was awesome - I must have seen it 100 times.
A couple of other obscure movies that I like are:
True Stories - Very weird but oddly intriguing movie by David Byrne and Talking Heads. I think it was John Goodman's first movie role. Penn and Teller Get Killed - A true B movie in every sense but pretty funny. For once, you get to hear Teller speak. Bad Boys - Not the one with Will Smith, but the one from the early 80s with Sean Penn. Good movie about a juvenile prison. Gummo - So grim and depressing, I loved it.