Definitely Star Wreck - it is a sci-fi parody, made by a bunch of students with a near-zero budget. But it is totally awesome =)

Then Aki Kaurismäki movies - I'd guess you can find them with subtitles in many languages. Start with Leningrad Cowboys Go America, and if you like it try the others too.

If you can find Jadesoturi (aka. Jade Warrior) - the storytelling is bit clumsy, but it is rather beautiful, and the first ever kung-fu movie made in Finland =) Ah, and also, it features a bow made by Sami and me.

Hmm, then, for a cultural reference, and also I'd guess you would like these: a classic Finnish WWII film is "Tuntematon sotilas" (The unknown soldier), and then there is also "Talvisota" (The Winter War) - I really don't know how wide international distribution they have, but try to see if you can find them.

Finally, Rare Exports. Seriously =)