I was looking at his filmography on Wikipedia just now, and realized that I had not watched anywhere nearly as much of his work as I had thought...
Anyway, from that list, I very much like
Donnie Darko, Brokeback Mountain, Jarhead, Source Code, Life, and Okja, and I'd recommend them all. That's pretty varied list though; Jarhead might be most similar in mood to Zodiac and Nightcrawler (which I also loved). Prince of Persia I also found amusing pulp. I had Nocturnal Animals on my Netflix list, but I kept being put off by its trailer and eventually decided against watching it; I think it's just not my genre.