The most imaginative movie on my list is "Pan's Labyrinth", which is a times an amazing movie and at times a very brutal one.  It takes place during the waning days of the Spanish Civil War, and the war aspects of the film are as tough as any war movie.  Then there's the central figure and story, a beautiful young girl who uses her imagination to escape the horrors of her life.  The images this conjures up are very memorable.  But is it all just her imagination or is it something more?  "Pan's Labyrinth"  is definitely worth your time.