Ok... I'm sure you've seen Frances?
I would also definitely add "Jude" to your list. Holy cow, did I want to stick a fork in my eye after that one. 
http://www.imdb.com/title/tt0116722/
I saw
Frances but read the book first. Yeow. Poor, poor woman. Nirvana did a bit of a tribute to her in
Frances Farmer Will Have her Revenge on Seattle. Is
Jude the movie with Christopher Eccleston? That was pretty grim as well.
Some of Mike Leigh's films are rather difficult to watch.
Meantim, with a very young Tim Roth, is notable in it's oppressiveness.
Watched Leigh's
All or Nothing a couple of nights ago. Tonight, though, I'm digging into
The Exorcism of Emily Rose I LOVE a good horror movie!!
Speaking of . . . anyone else waiting eagerly for
Hostel this Friday??