Traces of Red 1992 movie with James Belushi. Haven't seen it in 15 years but I remember at the time that the twist was awesome. I might feel differently about it now.
Dirty Rotten Scoundrels is one nobody has mentioned.
Sixth Sense is still one of my favorites that I never saw coming. Saw comes in that same line.
Total Recall once the real inside out triple cross comes out.
The book The Magus had a similar effect -- I remember flinging the book across the room once I got to the last page. I wish the movie had been even remotely as good as the book though I'm pretty sure that book is basically unfilmable.
Don't expect a "twist" or a trick. This is more like, "OMG! That's the end of the movie!" type of thing. Absolutely something nobody would ever think of. Trying not to give any real aspects away.
Match Point suprised me. I was going though DVD/new movie dry period and got that expecting a romance drama (which I usually dont like, but I decided to be openminded) and was really suprised at where it went.
Last Temptation Of Christ "I told you we'd meet again"
While not a film, I really enjoyed Showtimes Masters Of Horrors "Black Cat" using Edgar A Poe as a character from his own story. Directed by Gordon Stuart and Jeffrey Combs playing Poe. I dont want to ruin it, if youve seen it ,youll understand.