Some of my favs in this category:
- They Live
- District 9
- Alien Nation
- Robocop
- Alphaville (have to hat tip @livus for introducing me to that one)
- Enemy Mine - this one might not exactly qualify, as it starts as high action scifi on an alien planet, but it transitions into a very different kind of story by the end. Dennis Quaid's best performance too, imho, and Lou Gosset Jr is exceptional in one of the weirdest roles of his career.