As I am currently teaching an Australian Cinema class I would be remiss if I did not mention the following excellent films from Oz and New Zealand directors:

Walkabout
Picnic at Hanging Rock (if anyone finds this on VHS or DVD in a version that is NOT the director's cut please let me know!)
Gallipoli
The Devil's Playground
Dead Calm
Sweetie
(already mentioned) An Angel at My Table
The Piano
Portrait of a Lady
Romper Stomper
Angel Baby
The Price of Milk
The Adventures of Priscilla: Queen of the Desert
Muriel's Wedding