Damn, this is my kind of thread!
Ok, here's a list of great psychological thrillers ala Fight Club/Memento:
The Machinist (Dir. Brad Anderson, 2004)
Mr. Brooks (Dir. Bruce A. Evans, 2007)
Repulsion (Dir. Roman Polanski, 1965)
Primal Fear (Dir. Gregory Hoblit, 1996)
Shutter Island (Dir. Martin Scorsese, 2010)
Jacob's Ladder (Dir. Adrian Lyne, 1990)
Hard Candy (Dir. David Slade, 2005)
Black Swan (Dir. Darren Aronofsky, 2010)
Lost Highway (Dir. David Lynch, 1997)
I might add some more later as I think of them.