Based on your list I'll recommend the following:

Twelve Monkeys (And check out other Terry Gilliam films, he was one of Monty Python, but his films are not the same as the python films)
A Scanner Darkly
Serenity (and if possible, watch the TV series Firefly first)
Bubba Ho Tep (for Bruce Campbell fans)
Planet of the Apes (the original, the remake is not so good)
Robocop (the second is also okay, the third isn't!)
Scanners
Sunshine
28 Days Later (Just check out Danny Boyle in general really)
Pan's Labyrinth (Guillermo del Toro is awesome)
Blade 1/2
Hellboy 1/2
Desperado
Ronin
Road to Perdition
Collateral
Heat
The Hurt Locker
The Road
Moon
The Lives of Others (German, about East Germany)
Charlie Wilson's War
Blindness

Well, that's a few anyway. Hopefully there's some in that list that you'll like! Everyone's tastes are a bit different though.

Thanks everyone, I will look on all movies you suggested. Just one small question anyone knows good steampunk movies or movies similiar to Sherlock Holmes?

From these being at the top of your list, apparently depressing movies don't bother you:)

If you need something fun to watch, try The Gamers: Dorkness Rising

Hmm Steampunkish?...


Try

The Prestige
Dark City

Possibly Fortress and Fortress 2 at a push.

Steamboy and Castle in the Sky if you like animated.

The Prestige was very dark. I didn't like it much, save for the actors.

Van Helsing was a kick in the pants for fun and light hearted, plus Kate Beckinsdale is amazing looking:)

I keep meaning to get that, and I keep forgetting to look when I'm at the Barnes and Noble near here.

My DVD copy came with the comic:)

Dark City is one of my favorites and The League of Extraodinary Gentlemen is rather good to, Both have a steampunk feel to them at least. For another Sherlock Holmes you can also try Young Sherlock Holmes, it came out in the mid 80's. It was one of my favorites as a kid.

That movie was pure awesome for any oldschool PnP RPGer.

I think non-PnPers probably thought it was a lot of exaggeration. Sadly, no, I've pretty much seen everything in that movie happen in "real" life.

The Golden Compass? Maybe?