Grave of the Fireflies made me cry all the way until the end! There was no happy moment for them *sniff!*
I agree, Miyazaki films are so cool. Spirited Away, Howl's Moving Castle and My Friend Totoro are great.
FF-Advent Children had really great 3D animation. Sephiroth was cool, hehe!
One of my favorite anime movies is Full Metal Alchemist - The Conqueror of Shamballa. Though I would recommend watching the complete series first (52 episodes), because the plot happen years after the ending of the series. I watched the movie first before the series... it made me buy the FMA series DVD.

Tokyo Godfathers by Satoshi Kon is also interesting. More of the comedy-drama thing. His other work, Perfect Blue, kinda creeped me out though.