Baraka - really good world music featuring Dead Can Dance.
The Boys - Done by an Australian band called The Necks, really dark improvised jazz stuff.
Fear & Loathing In Las Vegas - Good selection of 60s and 70s stuff which includes White Rabbit by Jefferson Airplane which is just an awesome song.
Any David Lynch film - Lost Highway in particular has a really good sountrack with a great mix of darkish stuff including David Bowie and Rammstein.