I second Children of Men and Pan's Labyrinth. Eternal Sunshine of the Spotless Mind is less allegorical, but still in my top ten favorites of all time so that of course is on my list as well. Inception not so much for the bulltrout story, but for the groundbreaking set design and special effects.

Other notable mentions: Amelie, A Beautiful Mind, Ichi the Killer

Those were all from 2001. Such a fantastic year for filmmaking that was. Yoda I am.

From 2002: City of God. I am stopping here.