Pan's Labyrinth was indeed a phenomenal movie. Sort of a fairy-tale for adults. Parts of it are uber-creepy, and parts just downright suspenseful, but it's really just about a little girl trying to escape her life, which becomes horrible when her mother marries a cruel military man and they move to a military outpost. It is a beautiful movie, so if you respond to strong visual images, you'll enjoy that aspect as well as the story. I would highly recommend it.
Since you're asking for recommendations, the other movie I've seen recently that fits into this weird artistic beautiful cool movie categort is The Fountain (written and directed by Aronofsky, who also wrote and directed Pi). It is fascinating, and very emotional and positively gorgeous. Like a piece of art on the screen. My husband and I were silent for a full 20 minutes after we saw this in the theatre (and believe me, that NEVER happens with us after a movie). We just couldn't talk about it yet - the spell of the movie had to wear off.