There's been some good stuff coming out of Oz in the last few years. Animal Kingdom has been mentioned, but I also really liked:
Van Diemen's Land (2009) - very dark historical drama set in Tasmania
The Hunter (2011) - Willem Defoe tries to find the last Tasmanian tiger in this thriller/drama
Sleeping Beauty (2011) - disturbing mystery with Emily Browning
Snowtown (2011) - excellent but very bleak story of the Snowtown murders, with a riveting performance from Daniel Henshall
The Tree (2010) - touching drama with Charlotte Gainsbourg
For older stuff, check out
The Last Wave (1977) - kind of a modern urban twin of Picnic at Hanging Rock
Newsfront (1978) - nice portrayal of reporting in the 50's from Philip Noyce
Next of Kin (1982) - effective mystery with a good creepy atmosphere
Long Weekend (1978) - a couple's relationship goes sour on a remote Australian beach
There's also the great 2008 doc "Not Quite Hollywood: The Wild, Untold Story of Ozploitation!".