Now that I think of it, I haven't actually seen that many of his movies. My favorite is ''One Hour Photo''. A great psychological drama.
I would also add Philip Seymour Hoffman (Boogie nights, Big Lebowsky, Happiness). In all those movies he plays interesting variations on the theme of awkward, sexually repressed character.
Also Frances McDormand as Chief Gundersson in Fargo, my Top 1 movie.
https://www.youtube.com/watch?v=hqAVuE524Gk
https://www.youtube.com/watch?v=vmoYpJIUWhY
Special mention for Steve Buscemi and Peter Stormare.
https://www.youtube.com/watch?v=HqIGiVLOY4E
Fargo is a classic and Steve Buscemi is just incredible in this movie. The Coen brothers know how to direct their casts; they're geniuses. In True Grit, they even transformed Jeff Bridges into a first class actor... Quite a feat of arm, from my point of view. Not that Bridges is that bad in general, but he's surprisingly convincing in True Grit. People forget the role that a good director can play...Take DiCaprio for instance; he left me cold until he played for Scorcese in The Aviator and Gangs of New York... He also learned from Spielberg in Catch me if you can... I love him ever since. Another exemple is Brad Pitt; I think he's a bad actor, real bad, but his performance in Babel, under Inarritu, is just excellent