While not the most underrated of all time, would like to mention James Spader. Nobody ever mentions him, and while he may not be showy, his characters seem to have so much going on in their head.
He's got the market cornered on the angst-ridden, sexually quirky character. What other actor could you picture pulling off (and being bold enough to try) the types of characters he portrayed in "Secretary", "Crash", "sex, lies and videotape"? And then he can turn around and play the straigh-laced intellectual in something like "Stargate" . His only problem is that he needs a new agent. ("Slow Burn", "Curtain Call", "Driftwood", "The Watcher", etc. are dreck.)