Inglorious Bastards, Grave of the Fireflies, anything Miyazaki related, Warrior,
District 9,
Shutter Island. Honorable mentions to Into The Wild, Inception, and Gravity.
In my opinion, a REALLY great game is better than a movie, because personally I feel like I have more of a stake in what happens, and I am more immersed. The perfect example is Dark Souls I, because it doesn't feel like a movie. Very Little cutscenes and very much thinking are required to piece everything together.
Go
here for a great example, and watch the whole playlist if you want. If you aren't familiar with Dark Souls at all, go
here first.