Angel Heart

This film is a very good entry into a sadly underused genre- horror noir. Other good examples would be Constantine, Seven, and Split Second. It's strange to me that more writers and directors haven't taken advantage of the close relationship between horror and detective films.
It also belongs to another sub-category of films that I have an unexplainable affection for, what you might call forgotten identity films; this includes Oldboy, Obsession, Fight Club, and several others where the protagonist eventually arrives at a viscerally horrific moment of self-discovery. It's a very effective storytelling technique that could justly be called manipulative, but I admire films that can do it well- remember F For Fake.
Riding on a fantastic performance by Mickey Rourke as the gumshoe antihero, a wonderful supporting turn by Robert DeNiro, and good Chandler-esque dialogue, Angel Heart is one of the best horror films of the last couple decades, as well as one of the most stylish noirs. Through associative editing and murky cinematography, both staples of the genre, director Alan Parker establishes a foreboding mood that doesn't let up until the inevitably horrifying climax (credit must be given to the sound design at well, which is chilling). While viewers may have "guessed" either of the major twists of the ending, the acting is so solid, especially from a tough but naive Rourke, that we still feel the shock of the characters' realization.
Finally, it should be noted that the film makes better use of voodoo and its New Orleans location in establishing mood than any other horror film I've seen, including The Skeleton Key, Fulci's The Beyond, Panic in the Streets, and The Serpent and the Rainbow. I Walked With A Zombie would be the exception, although I don't remember if it's set in LA.