LMAO...totally this.
Repo Men (made in the past couple of years). I was enjoying the FUCK out of that movie, until you find out the latter 3/4 of the damned movie were all in his head. I wasn't the only one - when the credits started rolling, people were boo'ing and throwing shit at the screen lol.
All I can think of immediately off the top of my head, though I know there have been many, many more.