I can't name just one.
Kiss Kiss Bang Bang
Margin Call
My Dog Skip
Moon
Glengarry Glen Ross
The Grifters
Kingdom of Heaven
Sunshine
Shallow Grave
Magnolia
The Director's Cut of Kingdom of Heaven is pure moviemaking brilliance. Just simply amazing and it blows the box office version (which was good in its own right) out of the water.
Also Serenity, and you don't have to like "Firefly" to enjoy it.
I don't know if one can say it's "underrated" but the movie "Aliens" is something I can watch over and over and over and never get tired of. Even though it was made in the 'mid-80's it has stood up very well over time and is just as good, if not better, than most action/thriller movies being made today IMO.