'Copy Cat' is my favorite movie dealing with anxiety and agorophobia - Weaver deserved an Oscar for that role I think. She got everything right in it, and it's so unsettling to watch because her acting is so great.
I also really love 'Mad Love' with Drew Barrymore, her portrayl of depression and anxiety is just superb, especially dealing with it as a teenager.
'Black Swan' is brilliant - though too much to watch over and over. Once in the cinema was enough, but I loved it.
'Shutter Island' was great - Leonardo can act mentally ill so well - he was also superb in 'The Departed' suffering from panic attacks. These films do get to me though, and I find then difficult to sit through at times.
'Girl Interrupted' was a bit wet for me after reading the book. I didn't like how they had to create a villain in Jolies character. (she's great in the changling')
'American Psycho' LOL - I think he's completley insane, a psycho as the title suggests. I think Anthony Perkins did a much better job of the true anti-social personality disorder etc. in 'Psycho'
I don't think Donnie is meant to have schizoprenia in 'Donnie Darko' at all - it's a fantasy film completley about time travel for me.
'Fatal Attraction' is brilliant, though the original ending would have gone much better with the characters illness. She wouldn't have behaved the way she did in the final scenes - did you know Glen Close refused to film those scenes for months because it was against what her character would do? I found that great - that she was so dedicated to the role of Alex.
'One Flew Over The Cuckoo's Nest' is just AMAZING - though completley disturbing.
'To Die For' is funny - I really like that movie

My favorite is 'Basic Instinct' though, the characters in that, especially Sharon Stone's, are just brilliant in every way. I love a femme fatale sociopath who literally manipulates everyone around her, and all the other characters have brilliant psychological problems too. There are so many great movies dealing with mental health issues. Far too many to name, but a lot of these people have mentioned are great.