I think it depends on the story. If you're going for a corrupt, despicable, depressing, nihilistic society, then films like "Escape from New York", "Blade Runner", and "Dirty Harry" are your deal. You'll see gunfire, explosions, and tons of violence...but very little depth, apart from an occasional knife wound.
However, if you prefer a slightly-exaggerated world that closely mirrors our own, with a hopeful story that takes itself seriously, then I'd suggest some of the recent comic-book films ("Spider-Man", "The Mask", "Fantastic Four"). You'll definitely get the proverbial "light at the end of the tunnel", not to mention a ton of character-driven depth.