I'll agree on Kentucky Fried Movie. One of the funniest movies ever. I'd have to add Amazon Women on the Moon as a double feature with it, though. If you liked KFM, AWotM is in the same vein. Neither movie hits all its marks, but when they do, they're hysterical. And the opening sequence of AWotM is possibly the funniest thing that Arsenio Hall has ever done.
5. Dark City - No clue why this didn't get more attention when it came out. It was a great film and set the stage for a lot of films that came later.
4. Remo Williams: The Adventure Begins - I know it gets a lot of replay on TV, but it's vastly underrated.
3. Anything by Wem Wenders - The man is an underappreciated genius.
2. The Adventures of Buckaroo Banzai Across the 8th Dimension - This should have gotten more attention based on the cast alone: Peter Weller, John Lithgow, Ellen Barking, Jeff Goldblum, Christopher Lloyd, and Clancy Brown, I mean, come on! It was a totally fun, campy romp through an intriguing world with interesting characters. Fun from beginning to end.
1. Miracle Mile - I first saw this because I was going through a Tangerine Dream phase, bought and loved the soundtrack, so figured I should probably see the film. It stars Anthony Edwards and Mare Winningham. The plot is simple: A man answers a pay phone and the voice on the other end is from a soldier in a missle silo trying to reach his dad to warn him that a nuclear war has begun. The film starts out quietly enough, but the utter havok that is unleashed from this one simple phone call is amazing. Was the voice on the phone a prankster? Who do you tell and who would believe you? What if everyone DID believe you and you were wrong? Fantastic movie and one of my all time favorites. Bonus for the Star Trek fans: Denise Crosby makes an appearence as a main character.