On a related note (and I mean this only as a momentary rambling, not as a subject change - I'm sure there are already threads on this), I've often wondered how Kubrick movies might change from having their narration removed. About 2/3 of them employ omniscient or character narration: The Killing, Lolita, Dr. Strangelove, A Clockwork Orange, Barry Lyndon, and Full Metal Jacket. Now, I'm not trying to argue they would actually be better without narration (far be it from me to suggest such a thing...). Just different, and something I like to keep in mind when watching them.
Oh, and real picks of movies whose narration is absolutely integral to the movie as a whole? I second Fight Club, and The Man Who Wasn't There. Oh! Oh! - and Carlito's Way.
One of the best narrations ever is that of Sir Cedric Hardwick in "The War of the Worlds." Edward James Olmos did a great narration in "American Me" too. Charlie Sheen's in "Platoon" aslo comes to mind.