I love "Memento" by Christopher Nolan too, and it is my favorite movie of the decade too, as many have already stated.
Two of my favorite movies that haven't been mentioned yet ended up being from 1999.
I'm going to post these two nonetheless because they we're so close to being in this decade and had such an impact, and both feature some of the best trailers I've ever seen.
Being John Malkovich (1999)
Blair Witch project (1999)
being john malkovich transcends through boundaries. great film like this wouldn't be made in this decade, also 1999 produced most of my favourite films. anyways keeping on subject.. some of the films that i did enjoy from 2000 onwards that haven't been listed yet.
thank you for smoking (dark comedy very unique storyline)
little miss sunshine (another dark comedy and new take family orientation)
stranger than fiction (very quirky)
city of god (drama/gangster film)
requiem for a dream (drama, some scenes are very disturbing and this trailer doesn't do it justice)