The act of killing, 2012. It's a very unique documentary about mass murderers celebrated as heroes, and it's deeply unsettling. The banality of it. That fact that none of them suffered any consequence. It's kind of surreal. It makes my skin crawl.
Not a movie, but Too Old to Die Young really left an impression on me. It's a little bit hard for me to recommend it as it's essentially ~10 hours of extremely long drawn out shots in Refn's typical directing style, but if you enjoy his style I think it's worth giving it a chance.