(I really couldn't chose my favourites so this is just a random choice of some of the best..)
1) The Dreamers
I was only recently introduced to this film, but it was immediately love - a beautiful cast (Eva Green, Louis Garrel and Michael Pitt), enchanting clothes, Parisian settings, riots, old cinematic references, and masses of sexual controversy. You really have to see it to understand.
2) Y Tu Mama Tambien
Yet another beautiful cast (Gael Garcia Bernal, Maribel Verdu, and Diego Luna), with the main story taking place around a round trip between two teen best friends and an older woman. Jealousy and growing up are the central themes, with plenty of sexual controversy again for the shallower (or just plain horny) person. Again I can't explain the love, I don't think I ever can, just watch.
3) The Devil's Backbone
Directed by Guillermo del Toro (well known for films such as Pan's Labyrinth, Hellboy (1&2), The Orphanage, Cronos, Blade II, etc..), you can have some idea what you're in for if you have experienced him previously. If not, GET A MOVE ON! All his films are just magic, although often scary and creepy at the same time, but they just have to be experienced. I simply will not do this film justice if I try and describe it.
So there you have it. Maybe not the most obvious choices, but certainly worth a watch, even if you decide that you hate them, they're worth experiencing.