First movie that came to mind for me was Se7en.
I liked Primal Fear, but I actually predicted its ending from the beginning. And whoever said Training Day, the bad guy doesn't win in that movie.
ETA: I generally love movies where the bad guy wins. I enjoy movies that surprise me or catch me off guard, which is getting rarer and rarer these days.
This post was edited on 5/6 at 3:55 pm