The Last Temptation of Christ
Scrooged
Enter the Void
The Hangover 2, tacitly, unless you think of ZG as the villain...
I think the OP and responses (including mine) have been mostly about protagonists who are illuded rather than deluded. There is literally something built into the structure of the movie's world external to the hero that is causing the perception of a false reality. I come from a sci-fi background, so I don't think I'll ever get tired of these.
But it turns out that convincingly deluded heroes are much more difficult to pull off than illuded ones, so I find as I get older these types of stories are more fulfilling in the long run.
Think of almost any protagonist in a Todd Solondz film. Think Travis Bickle (or Rupert Pupkin). These characters are just fundamentally detached from reality in dramatically fascinating ways, and that's what drives their story.
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