Cube, 1997,Vincenzo Natali
This is the ultimate allegory, as it can be interpreted to be political, religious, social, psychological, and so on. Very Kafkaesque.
Punishment Park, 1971, Peter Watkins
An allegory of how some establishments treat difference that threatens their existence.
District 9, 2009, Neil Blomkamp
Aliens representing unwanted immigrants forced into a ghetto. Too bad that the creators couldn’t decide between a powerful social commentary and a boring, conventional action flick.
They shoot films, don't they? 