I'll be curious to hear what you think of State of Grace, too. I just watched that recently b/c Oldman said - can't remember to whom, Mayo, maybe? - that SoG was perhaps his favorite, of his films, that he really liked playing that role. I thought he definitely was great in it; the rest of the film, not so much, just ok.
I think it's better than Goodfellas. Oldman is way way way way way better than Pesci.
My favourite is Romeo is Bleeding. It is unhinged. Oldman can really do the man out of his depth. Speaking of which, JFK is worth watching for all the cameos (Lemmon/ Lee Jones/ Asner/ John Candy/ Pesci/ Bacon) and Oldman as the patsy puts way more into the role than is there on the page which is virtually a silent performance.
I loved
State of Grace when I first saw it and thought Phil Joanou was going to have a much different career than he ended up having (I was a fan of his
Three O'Clock High as well). I saw it again recently and was a bit disappointed with the film as a whole. However, Oldman was as great as I remember. Penn and John C. Reilly were also excellent.
I'm with verbALs on the merits of
JFK - great cast and performances. (Interesting connection: Joanou was initially going to make Don Delillo's
Libra with Oldman as Oswald, but Stone and
JFK ultimately killed it.)
I don't remember
Romeo is Bleeding at all (which is weird, as I saw it in the theater) but will revisit based on verbALs' recommendation.
Anyway - I'd go with
Sid and Nancy ("the feel good movie of the year") or
SoG.